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A note on a simple, accurate formula to compute implied standard deviations

Citations

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  1. Butler, J. S. & Schachter, Barry, 1996. "The statistical properties of parameters inferred from the black-scholes formula," International Review of Financial Analysis, Elsevier, vol. 5(3), pages 223-235.
  2. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, June.
  3. Sukhomlin, Nikolay & Santana Jiménez, Lisette Josefina, 2010. "Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox = Market Calibration Problem and the Implied Structure of the Black-Cox Bond Model," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 10(1), pages 73-98, December.
  4. Noshaba Zulfiqar & Saqib Gulzar, 2021. "Implied volatility estimation of bitcoin options and the stylized facts of option pricing," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-30, December.
  5. Jingwei Liu & Xing Chen, 2012. "Implied volatility formula of European Power Option Pricing," Papers 1203.0599, arXiv.org.
  6. Steven Li, 2003. "The estimation of implied volatility from the Black-Scholes model: some new formulas and their applications," School of Economics and Finance Discussion Papers and Working Papers Series 141, School of Economics and Finance, Queensland University of Technology.
  7. Geon Lee & Tae-Kyoung Kim & Hyun-Gyoon Kim & Jeonggyu Huh, 2022. "Newton–Raphson Emulation Network for Highly Efficient Computation of Numerous Implied Volatilities," JRFM, MDPI, vol. 15(12), pages 1-8, December.
  8. Ivan Matić & Radoš Radoičić & Dan Stefanica, 2017. "Pólya-based approximation for the ATM-forward implied volatility," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-15, June.
  9. Minqiang Li & Kyuseok Lee, 2011. "An adaptive successive over-relaxation method for computing the Black-Scholes implied volatility," Quantitative Finance, Taylor & Francis Journals, vol. 11(8), pages 1245-1269.
  10. Yixiao Lu & Yihong Wang & Tinggan Yang, 2021. "Adaptive Gradient Descent Methods for Computing Implied Volatility," Papers 2108.07035, arXiv.org, revised Mar 2023.
  11. Kazuhiko NISHINA & Tatsuro Nabil MAGHREBI & Moo-Sung KIM, 2006. "Stock Market Volatility And The Forecasting Accuracy Of Implied Volatility Indices," Discussion Papers in Economics and Business 06-09, Osaka University, Graduate School of Economics.
  12. Daniel Wei-Chung Miao & Xenos Chang-Shuo Lin & Chang-Yao Lin, 2021. "Using Householder’s method to improve the accuracy of the closed-form formulas for implied volatility," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(3), pages 493-528, December.
  13. Pareja Vasseur, Julián. DBA & Prada Sánchez, Marcela & Moreno Escobar, Martha, 2019. "Volatilidad en Opciones Reales: Revisión Literaria y un Caso de Aplicación en el Sector Petrolero Colombiano || Real Options Volatility: Literature Review and a Case of Application in the Colombian Oi," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 27(1), pages 136-155, June.
  14. Michael R. Tehranchi, 2015. "Uniform bounds for Black--Scholes implied volatility," Papers 1512.06812, arXiv.org, revised Aug 2016.
  15. Chargoy-Corona, Jesús & Ibarra-Valdez, Carlos, 2006. "A note on Black–Scholes implied volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 681-688.
  16. Matthias Fengler, 2010. "Option data and modeling BSM implied volatility," University of St. Gallen Department of Economics working paper series 2010 2010-32, Department of Economics, University of St. Gallen.
  17. Martijn Pistorius & Johannes Stolte, 2012. "Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations," Papers 1203.6899, arXiv.org.
  18. Don M. Chance & Thomas A. Hanson & Weiping Li & Jayaram Muthuswamy, 2017. "A bias in the volatility smile," Review of Derivatives Research, Springer, vol. 20(1), pages 47-90, April.
  19. Jim Gatheral & Ivan Matić & Radoš Radoičić & Dan Stefanica, 2017. "Tighter Bounds For Implied Volatility," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(05), pages 1-14, August.
  20. Ivan Damnjanovic & Xue Zhou, 2009. "Impact of crude oil market behaviour on unit bid prices: the evidence from the highway construction sector," Construction Management and Economics, Taylor & Francis Journals, vol. 27(9), pages 881-890.
  21. Dan Stefanica & Radoš Radoičić, 2017. "An Explicit Implied Volatility Formula," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-32, November.
  22. Kathrin Glau & Paul Herold & Dilip B. Madan & Christian Potz, 2017. "The Chebyshev method for the implied volatility," Papers 1710.01797, arXiv.org.
  23. Michele Mininni & Giuseppe Orlando & Giovanni Taglialatela, 2021. "Challenges in approximating the Black and Scholes call formula with hyperbolic tangents," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 73-100, June.
  24. Yibing Chen & Cheng-Few Lee & John Lee & Jow-Ran Chang, 2018. "Alternative Methods to Estimate Implied Variance: Review and Comparison," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-28, December.
  25. Dan Stefanica & Radoš Radoičić, 2016. "A sharp approximation for ATM-forward option prices and implied volatilites," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-24, March.
  26. Li, Minqiang, 2008. "Approximate inversion of the Black-Scholes formula using rational functions," European Journal of Operational Research, Elsevier, vol. 185(2), pages 743-759, March.
  27. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
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