The Chebyshev method for the implied volatility
Year of publication: |
2019
|
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Authors: | Glau, Kathrin ; Herold, Paul ; Madan, Dilip B. ; Pötz, Christian |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 23.2019, 3, p. 1-31
|
Subject: | Black-Scholes implied volatility | real-time evaluation | Chebyshev polynomial | polynomial interpolation | Laplace implied volatility | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading | Derivat | Derivative |
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