Liu, Jingwei; Chen, Xing - arXiv.org - 2012
We derive the implied volatility estimation formula in European power call options pricing, where the payoff functions are in the form of $V=(S^{\alpha}_T-K)^{+}$ and $V=(S^{\alpha}_T-K^{\alpha})^{+}$ ($\alpha0$)respectively. Using quadratic Taylor approximations, We develop the computing...