Template-Type: ReDIF-Paper 1.0
Author-Name: Hallerbach, W.G.P.M.
Author-Name-Last: Hallerbach
Author-Name-First: Winfried
Author-Person: pha50
Title: An Improved Estimator For Black-Scholes-Merton Implied Volatility
Abstract: 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.
Creation-Date: 2004-08-11
File-URL: https://repub.eur.nl/pub/1472/ERS%202004%20054%20FA.pdf
File-Format: application/pdf
Series: RePEc:ems:eureri
Number: ERS-2004-054-F&A
Classification-JEL: C13, C63, G13, G3, M
Keywords: approximation methods, implied volatility, options
Handle: RePEc:ems:eureri:1472