A Generalized Simple Formula to Compute the Implied Volatility.

This paper provides a direct method of obtaining an accurate estimate of the implied volatility of a call option. It adds a quadratic adjustment term to an already-known formula for at-the-money calls, previously developed by Brenner and Subrahmanyam. The adjusted formula is quite accurate for options no more than 20 percent in- or out-of-the-money and is simple to program and compute. Copyright 1996 by MIT Press.

MoreLess

Year of publication:	1996
Authors:	Chance, Don M
Published in:	The Financial Review. - Eastern Finance Association - EFA. - Vol. 31.1996, 4, p. 859-67
Publisher:	Eastern Finance Association - EFA

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005667639