An Improved Estimator for Black-Scholes-Merton Implied Volatility

21 Pages Posted: 23 Jul 2004

See all articles by Winfried G. Hallerbach

Winfried G. Hallerbach

Robeco Asset Management, Quantitative Investment Research

Date Written: July 5, 2004

Abstract

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

Hallerbach, Winfried George, An Improved Estimator for Black-Scholes-Merton Implied Volatility (July 5, 2004). ERIM Report Series No. ERS-2004-054-F&A. Available at SSRN: https://ssrn.com/abstract=567721 or http://dx.doi.org/10.2139/ssrn.567721

Winfried George Hallerbach (Contact Author)

Robeco Asset Management, Quantitative Investment Research ( email )

Weena 850
Rotterdam, 3014 DA
Netherlands
+31102242316 (Phone)

HOME PAGE: http://www.robeco.com/quant

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