Ang, James S.; Jou, Gwoduan David; Lai, Tsong-Yue - In: Review of Pacific Basin Financial Markets and Policies … 12 (2009) 02, pp. 159-176
. This paper derives an exact closed-form solution for implied standard deviation under the condition that the underlying … standard deviation and has no estimate error. This paper also develops three alternative formulas to estimate the implied … standard deviation if this condition is violated. Application of the Taylor expansion on a single call option value derives the …