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

Fintelligence CCT; EDHEC Business School - Department of Economics & Finance

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)

Fintelligence CCT ( email )

Salernes, Var 83690
France

EDHEC Business School - Department of Economics & Finance ( email )

France

HOME PAGE: http://https://www.edhec.edu/

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
2,698
Abstract Views
9,191
Rank
9,611
PlumX Metrics