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文章基本信息

  • 标题:A Formula to Compute Implied Volatility, with Error Estimate
  • 本地全文:下载
  • 作者:Song LIANG ; Yoshihiro TAHARA
  • 期刊名称:Interdisciplinary Information Sciences
  • 印刷版ISSN:1340-9050
  • 电子版ISSN:1347-6157
  • 出版年度:2009
  • 卷号:15
  • 期号:2
  • 页码:267-272
  • DOI:10.4036/iis.2009.267
  • 出版社:The Editorial Committee of the Interdisciplinary Information Sciences
  • 摘要: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.
  • 关键词:Implied volatility;Black-Scholes model
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