Data/hora: 10/06/2024 00:50:42

Provedor de dados: | Research in Agricultural & Applied Economics (AgEcon Searh)
País: | United States
Título: | Accuracy of Implied Volatility Approximations Using "Nearest-to-the-Money" Option Premiums
Autores: | Isengildina-Massa,   Olga; Curtis,   Charles E., Jr.; Bridges,   William; Nian,   Minhuan.
Data: | 2007-01-12
Ano: | 2007
Palavras-chave: | Marketing.
Resumo: | Implied volatility is a useful bit of information for futures and options hedgers and speculators.  However, extraction of implied volatility from Black-Scholes (BS) option pricing model requires a numeric search.  Since 1988, there have been numerous simplifying modifications to the BS formula proposed and presented in the applied economics and finance literature to allow approximation of implied volatility directly.  This study identifies and tests these simplification methods for accuracy for call only and put-call average elicitation of an implied volatility estimate.  Results show that accuracy varies by method and whether call only or put-call average approaches are applied.
Tipo: | Conference Paper or Presentation
Idioma: | Inglês

Identificador:

25206

http://purl.umn.edu/34927

Editor: | AgEcon Search

Relação:

Southern Agricultural Economics Association&gt;2007 Annual Meeting, February 4-7, 2007, Mobile, Alabama

Selected Paper

Formato:

26

application/pdf