An exact and explicit implied volatility inversion formula
Yuxuan Xia and Zhenyu Cui
| Year of publication: |
September 2018
|
|---|---|
| Authors: | Xia, Yuxuan ; Cui, Zhenyu |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 5.2018, 3, p. 1-29
|
| Subject: | Implied volatility | Taylor series | arbitrary greeks | Lagrange inversion theorem | operator calculus | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Griechenland | Greece | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786318500329 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011923068