An Improved Estimator For Black-Scholes-Merton Implied Volatility

Winfried Hallerbach

ERIM Report Series Research in Management from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam

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: approximation methods; implied volatility; options (search for similar items in EconPapers)
JEL-codes: C13 C63 G13 G3 M (search for similar items in EconPapers)
Date: 2004-08-11
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Citations: View citations in EconPapers (4)

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