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
著者情報
ジャーナル フリー

2009 年 15 巻 2 号 p. 267-272

詳細
抄録
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.
著者関連情報
© 2009 by the Graduate School of Information Sciences (GSIS), Tohoku University

This article is licensed under a Creative Commons [Attribution 4.0 International] license.
https://creativecommons.org/licenses/by/4.0/
前の記事 次の記事
feedback
Top