Kwangmoon Kim

Korea Advanced Institute of Science and Technology (KAIST)

373-1 Kusong-dong

Yuson-gu

Taejon 305-701, 130-722

Korea, Republic of (South Korea)

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Numerical Approximation of the Implied Volatility under Arithmetic Brownian Motion

Applied Mathematical Finance, Vol. 16, No. 3, 2009
Number of pages: 8 Posted: 04 Jun 2007 Last Revised: 16 Nov 2016
Jaehyuk Choi, Kwangmoon Kim and Minsuk Kwak
Peking University HSBC Business School, Korea Advanced Institute of Science and Technology (KAIST) and Department of Mathematics, Hankuk University of Foreign Studies
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Abstract:

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implied volatility, arithmetic Brownian motion, ABM, Bachelier, rational approximation, closed form approximation