An Improved Estimator For Black-Scholes-Merton Implied Volatility
2004-08-11
Research Paper
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We derive an estimator for Black-Scholes-Merton implied volatility that, when compared to the familiar Corrado & Miller [JBaF, 1996] estimator, has substantially higher approximation accuracy and extends over a wider region of moneyness.
Keywords
Classifications using
Journal of Economic Literature (JEL) Classification System
- G3 : Corporate Finance and Governance
- C63 : Computational Techniques; Simulation Modelling
- M : Business Administration and Business Economics; Marketing; Accounting
- G13 : Contingent Pricing; Futures Pricing
- C13 : Estimation
Automatically Extracted Terms
- approximation
- volatility
- option
- moneynes
- miller
- corrado
- approximation accuracy
- price
- formula
- accuracy
- range
- estimator
- volatilitie
- stock
- finance
- stock price
- management
- journal
- panel
- volatilities t
