Feb 17, 2023 · This note improves the lower and upper bounds of the Black-Scholes implied volatility (IV) in Tehranchi (SIAM J. Financial Math., 7 (2016), p. 893).

Sep 30, 2024 · We propose a Newton–Raphson algorithm on the log price that converges rapidly for all price ranges when using a new lower bound as an initial guess.

Using the option delta systematically, we derive tighter lower and upper bounds of the Black–Scholes implied volatility than those in Tehranchi (2016) [11].

Feb 23, 2023 · We propose a Newton-Raphson algorithm on the log price that converges rapidly for all price ranges when using a new lower bound as an initial guess.

Feb 20, 2023 · Applications to numerical root-finding of implied volatility. Inverting the option price to IV is arguably one of the most heavily used ...

Using the option delta systematically, we derive tighter lower and upper bounds of the Black-Scholes implied volatility than those in Tehranchi [SIAM J.

Abstract. Using the option delta systematically, we derive tighter lower and upper bounds of the Black-Scholes implied volatility than those in Tehranchi ...

Oct 2, 2024 · Using the option delta systematically, we derive tighter lower and upper bounds of the Black–Scholes implied volatility than those in Tehranchi ...

Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding · Jaehyuk Choi, Jeonggyu Huh, Nan Su · Published in Operations ...

The first numerical experiment is to compare Dirac Delta Bound with the alternative model-free bounds proposed in previous literature. Here we select two ...