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.

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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