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Black-Scholes formula
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Implied volatility
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Rational approximation
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Successive over-relaxation
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An adaptive successive over-relaxation method for computing the Black-Scholes implied volatility
Li, Minqiang
;
Lee, Kyuseok
- In:
Quantitative Finance
11
(
2011
)
8
,
pp. 1245-1269
further enhanced by introducing a
rational
approximation
on initial values. Numerical implementation shows that uniformly in a …
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