Liang, Song; Tahara, Yoshihiro A formula to compute implied volatility, with error estimate. (English) Zbl 1176.91154 Interdiscip. Inf. Sci. 15, No. 2, 267-272 (2009). Summary: We derive a simple formula to compute implied volatility approximately, and give an estimate of its relative error, in the framework developed by Black-Scholes. In particular, our error estimate ensures that the relative error of our formula is converging to 0 under certain conditions. Cited in 3 Documents MSC: 91G20 Derivative securities (option pricing, hedging, etc.) 91G80 Financial applications of other theories Keywords:implied volatility; Black-Scholes model PDFBibTeX XMLCite \textit{S. Liang} and \textit{Y. Tahara}, Interdiscip. Inf. Sci. 15, No. 2, 267--272 (2009; Zbl 1176.91154) Full Text: DOI