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- W2591174527 abstract "This paper aims to summarizing the different approaches in determining the implied volatility for the options. This value is of particular importance since it is the main component of the option’s price and because, among traders, options are quoted in terms of volatility rather than price. After a discussion on the approximation methods, a numerical approach is explained. It is shown that, in order to ensure a fast and reliable convergence, the selection of an appropriate starting point is key. The authors’ suggestion for choosing the first order approximation or the inflexion as initial point is also illustrated." @default.
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- W2591174527 date "2017-08-01" @default.
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- W2591174527 title "A review on implied volatility calculation" @default.
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- W2591174527 doi "https://doi.org/10.1016/j.cam.2017.02.002" @default.
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