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.

approximation methods, implied volatility, options
Estimation (jel C13), Computational Techniques; Simulation Modelling (jel C63), Contingent Pricing; Futures Pricing (jel G13), Corporate Finance and Governance (jel G3), Business Administration and Business Economics; Marketing; Accounting (jel M)
hdl.handle.net/1765/1472
ERIM Report Series Research in Management
Erasmus Research Institute of Management

Hallerbach, W.G.P.M. (2004). An Improved Estimator For Black-Scholes-Merton Implied Volatility (No. ERS-2004-054-F&A). ERIM Report Series Research in Management. Retrieved from http://hdl.handle.net/1765/1472