Li, Minqiang; Lee, Kyuseok - In: Quantitative Finance 11 (2011) 8, pp. 1245-1269
A new successive over-relaxation method to compute the Black-Scholes implied volatility is introduced. Properties of the new method are fully analysed, including global well-definedness, local convergence, as well as global convergence. Quadratic order of convergence is achieved by either a...