An Improved Estimator For Black-Scholes-Merton Implied Volatility

We derive an estimator for Black-Scholes-Merton implied volatility that, when compared to the familiar Corrado & Miller [JBaF, 1996] estimator, has substantially higher approximation accuracy and extends over a wider region of moneyness.

MoreLess

Year of publication:	2004-08-11
Authors:	Hallerbach, Winfried
Institutions:	Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
Subject:	approximation methods \| implied volatility \| options

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	ERIM Report Series Research in Management. - ISSN 1566-5283.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series RePEc:ems:eureri Number ERS-2004-054-F&A
Classification:	C13 - Estimation ; C63 - Computational Techniques ; G13 - Contingent Pricing; Futures Pricing ; G3 - Corporate Finance and Governance ; M - Business Administration and Business Economics; Marketing; Accounting
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010730867