Ivan Matic

CUNY Baruch College

Assistant Professor

17 Lexington Avenue

New York, NY 10021

United States

SCHOLARLY PAPERS

4

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in Total Papers Downloads

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SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Tighter Bounds for Implied Volatility

International Journal of Theoretical and Applied Finance, Vol. 20, No. 5, 1750035, 2017
Number of pages: 16 Posted: 24 Feb 2017 Last Revised: 23 Aug 2017
CUNY Baruch College, CUNY Baruch College, CUNY Baruch College and Baruch College, City University of New York
Downloads 732 (42,133)
Citation 2

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Implied Volatility, Polya Approximation, Bisection Method

2.

A Sharp Polya-Based Approximation to the Normal CDF

Applied Mathematics and Computation, Volume 322, April 2018, Pages 111–122
Number of pages: 16 Posted: 26 Sep 2016 Last Revised: 25 Jul 2018
Ivan Matic, Rados Radoicic and Dan Stefanica
CUNY Baruch College, CUNY Baruch College and Baruch College, City University of New York
Downloads 434 (81,594)
Citation 1

Abstract:

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Standard Normal CDF, Numerical Approximation

3.

A PDE Method for Estimation of Implied Volatility

Number of pages: 29 Posted: 02 Nov 2018 Last Revised: 24 Nov 2019
Ivan Matic, Rados Radoicic and Dan Stefanica
CUNY Baruch College, CUNY Baruch College and Baruch College, City University of New York
Downloads 385 (93,712)

Abstract:

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Implied Volatility, Partial Differential Equations, Numerical Approximation, Black-Scholes Model, Bachelier Model

4.

Pólya-Based Approximation for the ATM-Forward Implied Volatility

International Journal of Financial Engineering, Vol. 4, Nos. 2 & 3 (2017)
Number of pages: 12 Posted: 05 Apr 2017 Last Revised: 19 Oct 2017
Ivan Matic, Rados Radoicic and Dan Stefanica
CUNY Baruch College, CUNY Baruch College and Baruch College, City University of New York
Downloads 174 (208,572)

Abstract:

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Implied Volatility, Black-Scholes Model, ATM-Forward Options