Interdisciplinary Information Sciences
Online ISSN : 1347-6157
Print ISSN : 1340-9050
ISSN-L : 1340-9050
Regular Papers
A Formula to Compute Implied Volatility, with Error Estimate
Song LIANGYoshihiro TAHARA
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2009 Volume 15 Issue 2 Pages 267-272

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Abstract

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.

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© 2009 by the Graduate School of Information Sciences (GSIS), Tohoku University
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