Alternative Methods to Estimate Implied Variance

John Lee (), Jow-Ran Chang (), Lie-Jane Kao () and Cheng-Few Lee ()
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John Lee: Center for PBBEF Research
Jow-Ran Chang: National Tsing Hua University
Lie-Jane Kao: Takming University of Science and Technology, College of Finance
Cheng-Few Lee: The State University of New Jersey, Rutgers School of Business

Chapter Chapter 7 in Essentials of Excel VBA, Python, and R, 2023, pp 157-189 from Springer

Abstract: Abstract In this chapter, we will introduce how to use Excel to estimate implied volatility. First, we use approximate linear function to derive the volatility implied by Black–Merton–Scholes model.

Date: 2023
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DOI: 10.1007/978-3-031-14283-3_7

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