A Formula to Compute Implied Volatility, with Error Estimate

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概要

• 論文の詳細を見る

• We derive a simple formula to compute implied volatility approximately, and give an estimate of its relative error, in the framework developed by Black-Scholes. In particular, our error estimate ensures that the relative error of our formula is converging to 0 under certain condition.

• 東北大学の論文
• 2009-08-01

著者

• Liang Song

  Instotute Of Mechanics University Of Tsukuba

• Tahara Yoshihiro

  Credit Risk Management Division, Mitsubishi UFJ Trust and Banking Corporation

• Tahara Yoshihiro

  Credit Risk Management Division Mitsubishi Ufj Trust And Banking Corporation

関連論文

• A Formula to Compute Implied Volatility, with Error Estimate

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