Search Results - subject:"implied standard deviation"

The estimation of implied volatility from the Black-Scholes model: some new formulas and their applications

Li, Steven - School of Economics and Finance, Business School - 2003

This paper provides a more accurate formula for estimating the implied volatilities for at-the-money calls than the existing formula as developed previously by Brenner and Subrahmanyam (1988). New formulas are also given for estimating the implied volatilities of in- or out-of-the-money calls....

Persistent link: https://www.econbiz.de/10005181704

Alternative Formulas to Compute Implied Standard Deviation

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 …

Persistent link: https://www.econbiz.de/10004964026