Art

J-GLOBAL ID：200902249668763014   Reference number：09A0926285

A Formula to Compute Implied Volatility, with Error Estimate

誤差評価を持つインプライド・ボラティリティの計算方式

Author (2)： LIANG Song (Inst. of Mathematics, Univ. of Tsukuba) ,  TAHARA Yoshihiro (Credit Risk Management Div., Mitsubishi UFJ Trust and Banking Corp.)
Material： Interdisciplinary Information Sciences  (Interdiscip Inf Sci)
Volume： 15  Issue： 2  Page： 267-272 (J-STAGE)  Publication year： 2009 
JST Material Number： L2559A  ISSN： 1340-9050  Document type： Article
Article type： 原著論文  Country of issue： Japan (JPN)  Language： ENGLISH (EN)

Thesaurus term： *ratio ,  *asset ,  *equation ,  error (measure) ,  *statistical estimation ,  error analysis ,  convergence ,  *Black-Scholes equation ,  *Implied volatility ,  relative error ,  Mathematics ,  analysis ,  theory of errors
Semi thesaurus term： *予想変動率

JST classification (3)： Cost management in general  (KA05010E) ,  Numerical computation  (JE02000J) ,  System and control theory in general  (IA02010H)

Reference (4)：

• [1] Black, F., and Scholes, M., “The pricing of options and corporate liabilities,” Journal of Political Economy, 81: 637–654 (1973).
• [2] Brenner, M., and Subrahmanyan, M. G., “A simple formula to compute the implied standard deviation,” Financial Analysts Journal, 44: no. 5 (1988), 80–83.
• [3] Corrado, C. J., and Miller, T. W., Jr., “A note on a simple, accurate formula to compute implied standard deviations,” Journal of Banking and Finance, 20: 595–603 (1996).
• [4] Latane, H. A., and Rendleman, R. J., Jr., “Standard deviations of stock price ratios implied in option prices,” Journal of Finance, 31: 369–381 (1976).

Terms in the title (3)： 誤差評価 ,  インプライド・ボラティリティ ,  計算