A Formula to Compute Implied Volatility, with Error Estimate
نویسندگان
چکیده
منابع مشابه
Can There Be an Explicit Formula for Implied Volatility?
It is “well known” that there is no explicit expression for the Black-Scholes implied volatility. We prove that, as a function of underlying, strike, and call price, implied volatility does not belong to the class of Dfinite functions. This does not rule out all explicit expressions, but shows that implied volatility does not belong to a certain large class, which contains many elementary funct...
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ژورنال
عنوان ژورنال: Interdisciplinary Information Sciences
سال: 2009
ISSN: 1347-6157,1340-9050
DOI: 10.4036/iis.2009.267