DC Field | Value | Language |
---|---|---|
dc.contributor.author | Li, Minqiang | ko |
dc.contributor.author | Lee, Kyuseok | ko |
dc.date.accessioned | 2013-03-08T21:37:07Z | - |
dc.date.available | 2013-03-08T21:37:07Z | - |
dc.date.created | 2012-06-08 | - |
dc.date.created | 2012-06-08 | - |
dc.date.created | 2012-06-08 | - |
dc.date.issued | 2011-08 | - |
dc.identifier.citation | QUANTITATIVE FINANCE, v.11, no.8, pp.1245 - 1269 | - |
dc.identifier.issn | 1469-7688 | - |
dc.identifier.uri | http://hdl.handle.net/10203/94374 | - |
dc.description.abstract | A new successive over-relaxation method to compute the Black-Scholes implied volatility is introduced. Properties of the new method are fully analysed, including global well-definedness, local convergence, as well as global convergence. Quadratic order of convergence is achieved by either a dynamic relaxation or transformation of sequence technique. The method is further enhanced by introducing a rational approximation on initial values. Numerical implementation shows that uniformly in a very large domain, the new method converges to the true implied volatility with very few iterations. Overall, the new method achieves a very good combination of efficiency, accuracy and robustness. | - |
dc.language | English | - |
dc.publisher | ROUTLEDGE JOURNALS | - |
dc.title | An adaptive successive over-relaxation method for computing the Black-Scholes implied volatility | - |
dc.type | Article | - |
dc.identifier.wosid | 000299885600012 | - |
dc.identifier.scopusid | 2-s2.0-79960925174 | - |
dc.type.rims | ART | - |
dc.citation.volume | 11 | - |
dc.citation.issue | 8 | - |
dc.citation.beginningpage | 1245 | - |
dc.citation.endingpage | 1269 | - |
dc.citation.publicationname | QUANTITATIVE FINANCE | - |
dc.identifier.doi | 10.1080/14697680902849361 | - |
dc.contributor.localauthor | Lee, Kyuseok | - |
dc.contributor.nonIdAuthor | Li, Minqiang | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Successive over-relaxation | - |
dc.subject.keywordAuthor | Black-Scholes formula | - |
dc.subject.keywordAuthor | Implied volatility | - |
dc.subject.keywordAuthor | Rational approximation | - |
dc.subject.keywordPlus | COMPOUND OPTIONS | - |
dc.subject.keywordPlus | CORPORATE LIABILITIES | - |
dc.subject.keywordPlus | STANDARD DEVIATIONS | - |
dc.subject.keywordPlus | VALUATION | - |
dc.subject.keywordPlus | FORMULA | - |
dc.subject.keywordPlus | PRICE | - |
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