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  • Search: subject:"Normal implied volatility"
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Normal implied volatility 1 arithmetic Brownian motion 1 basis point volatility 1 closed form approximation 1 rational approximation 1
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Choi, Jaehyuk 1 Kim, Kwangmoon 1 Kwak, Minsuk 1
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Applied Mathematical Finance 1
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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 Brownian motion, which is widely quoted in Fixed Income markets. The maximum error in the volatility is in the order of 10-10 of the given option price and much smaller for the...
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