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- W1931408281 abstract "In this study, we simplified the Black-Scholes formula to a two-input version. This simplified formula presents a one-to-one relationship with one input given that the other input is fixed. With this simplified formula, we created an option-price data grid and showed that the implied volatility can be obtained by interpolation. This interpolation-based algorithm does not require iteration and has an adjustable accuracy, which is very useful in computing implied volatilities for a large number of options in a real-time environment." @default.
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- W1931408281 date "2011-01-01" @default.
- W1931408281 modified "2023-09-26" @default.
- W1931408281 title "A New Algorithm for Computing Implied Volatility" @default.
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- W1931408281 doi "https://doi.org/10.2139/ssrn.1857206" @default.
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