A note on computation of implied volatility

被引：0
|
作者：
Kagenishi Y. [1 ]
Shinohara Y. [1 ]
机构：
[1] The Graduate School of Management and Information Science, Shikoku University, Tokushima
来源：
Asia-Pacific Financial Markets | 2001年 / 8卷 / 4期
关键词：
Black-scholes model; Continuous volatility; Geometric method; implied volatility; Numerical analysis; Verification theorem;
D O I：
10.1023/A:1020695629589
中图分类号：
学科分类号：
摘要：
This is a note on computation of the implied volatility in the Black-Scholes formula to evaluate an accuracy of the computation. © 2002 Kluwer Academic Publishers.
引用
收藏
页码：361 / 368
页数：7
相关论文
共 50 条
  • [41] Historic risk and implied volatility
    Dicle, Mehmet F.
    Levendis, John
    GLOBAL FINANCE JOURNAL, 2020, 45
  • [42] Volatility Forecasting : Model-Free Implied Volatility
    Cheng, Jing Fei
    Lu, Gui Bin
    PROCEEDINGS OF THE INTERNATIONAL CONFERENCE ON EDUCATION, MANAGEMENT, COMMERCE AND SOCIETY, 2015, 17 : 498 - 501
  • [43] Credit-implied forward volatility and volatility expectations
    Bystrom, Hans
    FINANCE RESEARCH LETTERS, 2016, 16 : 132 - 138
  • [44] Comparison of Realized Measure and Implied Volatility in Forecasting Volatility
    Han, Heejoon
    Park, Myung D.
    JOURNAL OF FORECASTING, 2013, 32 (06) : 522 - 533
  • [45] The Information Content of Intraday Implied Volatility for Volatility Forecasting
    Wang, Yaw-Huei
    Wang, Yun-Yi
    JOURNAL OF FORECASTING, 2016, 35 (02) : 167 - 178
  • [46] Forecasting stock market volatility using implied volatility
    He, Peng
    Shing-Toung, Stephen
    2007 AMERICAN CONTROL CONFERENCE, VOLS 1-13, 2007, : 2648 - +
  • [47] Fractional stochastic volatility correction to CEV implied volatility
    Kim, Hyun-Gyoon
    Kwon, Se-Jin
    Kim, Jeong-Hoon
    QUANTITATIVE FINANCE, 2021, 21 (04) : 565 - 574
  • [48] The informational quality of implied volatility and the volatility risk premium
    Ferris, Stephen P.
    Kim, Woojin
    Park, Kwangwoo
    APPLIED ECONOMICS LETTERS, 2010, 17 (05) : 445 - 450
  • [49] Dynamics of foreign exchange implied volatility and implied correlation surfaces
    Beer, S.
    Fink, H.
    QUANTITATIVE FINANCE, 2019, 19 (08) : 1293 - 1320
  • [50] Relationships between implied volatility indexes and stock index returns - Are implied volatility indexes leading indicators?
    Giot, P
    JOURNAL OF PORTFOLIO MANAGEMENT, 2005, 31 (03): : 92 - +
12345