About this document
Implied Variances in Black-Scholes Model by joelhuancario is a document available to read on EtoBox.
The document discusses a method for calculating implied variances from the Black-Scholes options pricing model. It presents necessary and sufficient conditions for the existence of a positive implied variance. An algorithm is also presented that converges monotonically and quadratically to the implied variance when it exists.
- Author
- joelhuancario
- Language
- EN