An adaptive successive over-relaxation method for computing the Black-Scholes implied volatility
Year of publication: |
2011
|
---|---|
Authors: | Li, Minqiang ; Lee, Kyuseok |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 11.2011, 8, p. 1245-1269
|
Publisher: |
Taylor & Francis Journals |
Subject: | Successive over-relaxation | Black-Scholes formula | Implied volatility | Rational approximation |
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