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AN EXPLICIT IMPLIED VOLATILITY FORMULA · Study

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ArticleAN EXPLICIT IMPLIED VOLATILITY FORMULA

Dan Stefanica2017

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Articlegreen2017

AN EXPLICIT IMPLIED VOLATILITY FORMULA

Dan Stefanica · Radoš Radoičić

19 citations·0/0 files stored·International Journal of Theoretical and Applied Finance

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

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 1976The pricing of commodity contracts 2006The Volatility Surface: A Practitioner's Guide 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES 1997The Complete Guide to Option Pricing Formulas 1988A Simple Formula to Compute the Implied Standard Deviation 2003Errors in Implied Volatility Estimation

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Year2017

Typearticle

Published2017-01-01

VenueInternational Journal of Theoretical and Applied Finance

ISSN-L0219-0249

Languageen

Citations19

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1142/s0219024917500480

openalex_workW3124706686

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