שמור ב:
| Main Authors: | , , |
|---|---|
| פורמט: | Preprint |
| יצא לאור: |
2023
|
| נושאים: | |
| גישה מקוונת: | https://arxiv.org/abs/2302.08758 |
| תגים: |
הוספת תג
אין תגיות, היה/י הראשונ/ה לתייג את הרשומה!
|
תוכן הענינים:
- Using the option delta systematically, we derive tighter lower and upper bounds of the Black-Scholes implied volatility than those in Tehranchi [SIAM J. Financ. Math. 7 (2016), 893-916]. As an application, we propose a Newton-Raphson algorithm on the log price that converges rapidly for all price ranges when using a new lower bound as an initial guess. Our new algorithm is a better alternative to the widely used naive Newton-Raphson algorithm, whose convergence is slow for extreme option prices.