Article1996

A Generalized Simple Formula to Compute the Implied Volatility

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

Abstract This paper provides a direct method of obtaining an accurate estimate of the implied volatility of a call option. It adds a quadratic adjustment term to an already‐known formula for at‐the‐money calls, previously developed by Brenner and Subrahmanyam [3]. The adjusted formula is quite accurate for options no more than 20 percent in‐ or out‐of‐the‐money and is simple to program and compute.

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1973The Pricing of Options and Corporate Liabilities 1981Standard deviations implied in option prices as predictors of future stock price variability 1988A Simple Formula to Compute the Implied Standard Deviation

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2005A new formula for computing implied volatility 2017A review on implied volatility calculation 2008Price discovery in the options markets: An application of put‐call parity 2009ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY 2021Implied volatility estimation of bitcoin options and the stylized facts of option pricing 2001An Improved Approach to Computing Implied Volatility

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