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~isPartOf:"Energy Economics"
~isPartOf:"Applied Mathematical Finance"
~person:"Kim, Kwangmoon"
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Normal implied volatility
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arithmetic Brownian motion
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Kim, Kwangmoon
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Numerical Approximation of the
Implied
Volatility
Under Arithmetic Brownian Motion
Choi, Jaehyuk
;
Kim, Kwangmoon
;
Kwak, Minsuk
- In:
Applied Mathematical Finance
16
(
2009
)
3
,
pp. 261-268
We provide an accurate approximation method for inverting an option price to the
implied
volatility
under arithmetic …
Persistent link: https://www.econbiz.de/10004966849
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