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- W2078786265 abstract "We present a faster, more accurate technique for estimating implied volatility using the standard partial derivatives of the Black-Scholes option-pricing formula. Beside Newton-Raphson and slower approximation methods, this technique is the first to provide an error tolerance, which is essential for practical application. All existing noniterative approximation methods do not provide error tolerances and have the potential for large errors." @default.
- W2078786265 created "2016-06-24" @default.
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- W2078786265 date "2006-11-01" @default.
- W2078786265 modified "2023-09-23" @default.
- W2078786265 title "Faster Implied Volatilities via the Implicit Function Theorem" @default.
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- W2078786265 doi "https://doi.org/10.1111/j.1540-6288.2006.00158.x" @default.
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