Tighter Bounds for Implied Volatility

We establish bounds on Black-Scholes implied volatility that improve on the uniform bounds previously derived by Tehranchi. Our upper bound is uniform, while the lower bound holds for most options likely to be encountered in practical applications. We further demonstrate the practical effectiveness of our new bounds by showing how the efficiency of the bisection algorithm is improved for a snapshot of SPX options quotes

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Year of publication:	2017
Authors:	Gatheral, Jim
Other Persons:	Matić, Ivan (contributor) ; Radoicic, Rados (contributor) ; Stefanica, Dan (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory \| Optionsgeschäft \| Option trading \| Black-Scholes-Modell \| Black-Scholes model

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Extent:	1 Online-Ressource (16 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: International Journal of Theoretical and Applied Finance, Vol. 20, No. 5, 1750035, 2017 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 26, 2017 erstellt
Other identifiers:	10.2139/ssrn.2922742 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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