An Improved Estimator for Black-Scholes-Merton Implied Volatility
21 Pages Posted: 23 Jul 2004
Date Written: July 5, 2004
We derive an estimator for Black-Scholes-Merton implied volatility that, when compared to the familiar Corrado & Miller [JBaF, 1996] estimator, has substantially higher approximation accuracy and extends over a wider region of moneyness.
Keywords: implied volatility, options, approximation methods
JEL Classification: C13, C63, G13
Suggested Citation: Suggested Citation