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An Improved Estimator For Black-Scholes-Merton Implied Volatility

We derive an estimator for Black-Scholes-Merton implied volatility that, when compared to the familiar Corrado & Miller [JBaF, 1996] estimator, has substantially higher approximation accuracy and extends over a wider region of moneyness.
Year of publication:
2004-08-11
Authors: Hallerbach, W.G.P.M.
Institutions: Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
Subject: implied volatility | options | approximation methods
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Extent:
application/pdf
Series:
Research Paper. - ISSN 1566-5283.
Type of publication: Book / Working Paper
Notes:
The text is part of a series RePEc:dgr:eureri Number ERS-2004-054-F&A
Source:
Persistent link: https://www.econbiz.de/10005450996
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