Numerical Approximation of the Implied Volatility under Arithmetic Brownian Motion

We provide an accurate approximation method for inverting an option price to the implied volatility under arithmetic Brownian motion. The maximum error in the volatility is in the order of 1e-10 of the given option price and much smaller for the near-the-money options. Thus our approximation can be used as a near-exact solution without further refinements of iterative methods

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Year of publication:	[2016]
Authors:	Choi, Jaehyuk
Other Persons:	Kim, Kwangmoon (contributor) ; Kwak, Minsuk (contributor)
Publisher:	[2016]: [S.l.] : SSRN

Extent:	1 Online-Ressource (8 p)
Series:	Applied Mathematical Finance ; Vol. 16, No. 3, 2009
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 1, 2007 erstellt
Other identifiers:	10.2139/ssrn.990747 [DOI]
Classification:	C63 - Computational Techniques ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012707119