Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion
Year of publication: 
2009


Authors:  Choi, Jaehyuk ; Kim, Kwangmoon ; Kwak, Minsuk 
Published in: 
Applied Mathematical Finance.  Taylor & Francis Journals, ISSN 1350486X.  Vol. 16.2009, 3, p. 261268

Publisher: 
Taylor & Francis Journals 
Subject:  Normal implied volatility  basis point volatility  arithmetic Brownian motion  rational approximation  closed form approximation 

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