SACHS, EKKEHARD W.; SCHNEIDER, MARINA - In: International Journal of Theoretical and Applied … 17 (2014) 08, pp. 1450053-1
Implied volatility is a key value in financial mathematics. We discuss some of the pros and cons of the standard ways to compute this quantity, i.e. numerical inversion of the well-known Black–Scholes formula or asymptotic expansion approximations, and propose a new way to directly calculate...