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- W1966082733 abstract "In this paper we used a refined approach to estimating the implied volatility from options price in the classic framework developed by Black and Scholes (1973) and Merton (1973). Our study extend the formula previously developed by Corrado and Miller (1996) which works well for the Index options with the present value of strike price being close to the index price. Our refined approach provides more accurate implied volatility estimation over a wider range of moneyness." @default.
- W1966082733 created "2016-06-24" @default.
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- W1966082733 date "2009-01-01" @default.
- W1966082733 modified "2023-09-26" @default.
- W1966082733 title "A refined approach to estimating the implied volatility" @default.
- W1966082733 doi "https://doi.org/10.1504/ijbfmi.2009.028451" @default.
- W1966082733 hasPublicationYear "2009" @default.
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