Using Householder's method to improve the accuracy of the closed-form formulas for implied volatility
Year of publication: |
2021
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Authors: | Miao, Daniel Wei-Chung ; Lin, Xenos Chang-Shuo ; Lin, Chang-Yao |
Published in: |
Mathematical methods of operations research : ZOR. - Berlin : Springer, ISSN 1432-5217, ZDB-ID 1459420-1. - Vol. 94.2021, 3, p. 493-528
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Subject: | Option pricing | Black-Scholes formula | Implied volatility | Householder’s method | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading |
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