The Chebyshev method for the implied volatility
Kathrin Glau, Paul Herold, Dilip B. Madan and Christian Pötz
| Year of publication: |
2019
|
|---|---|
| Authors: | Glau, Kathrin ; Herold, Paul ; Madan, Dilip B. ; Pötz, Christian |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 23.2019, 3, p. 1-31
|
| Subject: | Black-Scholes implied volatility | real-time evaluation | Chebyshev polynomial | polynomial interpolation | Laplace implied volatility | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2019.375 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012162365