Adaptive Gradient Descent Methods for Computing Implied Volatility

Yixiao Lu, Yihong Wang and Tinggan Yang

Papers from arXiv.org

Abstract: In this paper, a new numerical method based on adaptive gradient descent optimizers is provided for computing the implied volatility from the Black-Scholes (B-S) option pricing model. It is shown that the new method is more accurate than the close form approximation. Compared with the Newton-Raphson method, the new method obtains a reliable rate of convergence and tends to be less sensitive to the beginning point.

Date: 2021-08, Revised 2023-03
New Economics Papers: this item is included in nep-cmp, nep-isf and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2108.07035

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