Wyniki wyszukiwania - BazTech

Ograniczanie wyników

Powiadomienia systemowe

Sesja wygasła!

Znaleziono wyników: 1

Liczba wyników na stronie

Wyniki wyszukiwania

Wyszukiwano:
w słowach kluczowych: surface approximation

Sortuj według:

Ogranicz wyniki do:

A modified Corrado-Miller implied volatility estimator

Płuciennik P.

Fasciculi Mathematici

2007

Nr 38

115-124

The implied volatility, i.e. volatility calculated on the basis of option price is a very important parameter in financial econometrics. Usually, it is calculated from the Black-Scholes option pricing formula, but it doesn't have any analytical solution. There are many ways to find it numerically. Unfortunately, all fast estimators give non rigorous results for deep-in or deep-out-of-the-rnoney options. In this paper there are compared some estimators of implied volatility and there are estimated errors for many cases of option price, strike price and real volatility. Furthermore, to reduce error using least squares surface approximation, a new estimator basing on the Corrado-Miller estimator is constructed. There are shown some cases in which the modified Corrado-Miller estimator gives more exact results.