A Quadratic Method for the Calculation of Implied Volatility Using the Garman–Kohlhagen Model

M. A. J. Bharadia, N. Christofides and G. R. Salkin

Financial Analysts Journal, 1996, vol. 52, issue 2, 61-64

Abstract: Conventional techniques for evaluating the implied volatility from option prices involve iterative methods. The analytical algorithm presented in this article provides a simple, fairly accurate, and intuitive way of determining implied volatility. The discussion of this method is with reference to the Garman–Kohlhagen model for currency options, but the analysis is applicable to all options that can be priced using the Black–Scholes model. An improvement on a closed-form solution for implied volatility that is computationally more efficient is also presented.

Date: 1996
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.2469/faj.v52.n2.1981 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:ufajxx:v:52:y:1996:i:2:p:61-64

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/ufaj20

DOI: 10.2469/faj.v52.n2.1981

Access Statistics for this article

Financial Analysts Journal is currently edited by Maryann Dupes

More articles in Financial Analysts Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().