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Post by Sapphire Capital on Aug 6, 2008 21:50:51 GMT 4
An Improved Estimator for Black-Scholes-Merton Implied Volatility Winfried G. Hallerbach Erasmus Research Institute of Management (ERIM) - Joint Research Institute of Rotterdam School of Management (RSM) and Erasmus School of Economics(ESE), EUR November 2004, 08 ERIM Report Series Reference No. ERS-2004-054-F&A Abstract: We derive an estimator for Black-Scholes-Merton implied volatility that, when compared to the familiar Corrado & Miller [JBaF, 1996] estimator, has substantially higher approximation accuracy and extends over a wider region of moneyness. papers.ssrn.com/sol3/Delivery.cfm/1472.pdf?abstractid=1097191&mirid=3
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