The Chebyshev method for the implied volatility

Pötz, Christian

doi:10.21314/jcf.2019.375

Cited by 6 publications

(2 citation statements)

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“…Therefore, efficient volatility inversion methods has been a research topic of interest in computational finance. For the progress made in implied volatility computation under the BS model, see Jäckel (2015), Li (2008), Pötz (2019), and Stefanica and Radoičić (2017).…”

Section: Volatility Inversionmentioning

confidence: 99%

A Black–Scholes user's guide to the Bachelier model

Choi

Kwak

Tee

et al. 2022

Journal of Futures Markets

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To cope with the negative oil futures price caused by the COVID-19 recession, global commodity futures exchanges temporarily switched the option model from Black-Scholes to Bachelier in 2020. This study reviews the literature on Bachelier's pioneering option pricing model and summarizes the practical results on volatility conversion, risk management, stochastic volatility, and barrier options pricing to facilitate the model transition. In particular, using the displaced Black-Scholes model as a model family with the Black-Scholes and Bachelier models as special cases, we not only connect the two models but also present a continuous spectrum of model choices.

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Section: Volatility Inversionmentioning

confidence: 99%

A Black–Scholes user's guide to the Bachelier model

Choi

Kwak

Tee

et al. 2022

Journal of Futures Markets

View full text Add to dashboard Cite

show abstract

“…Therefore, efficient volatility inversion methods has been a research topic of interest in computational finance. For the progress made in implied volatility computation under the BS model, see Li (2008); Jäckel (2015); Stefanica and Radoičić (2017); Pötz (2019).…”

Section: Volatility Inversionmentioning

confidence: 99%

A Black-Scholes user's guide to the Bachelier model

Choi,

Kwak,

Tee

et al. 2021

Preprint

View full text Add to dashboard Cite

To cope with the negative oil futures price caused by the COVID-19 recession, global commodity futures exchanges switched the option model from Black-Scholes to Bachelier in April 2020. This study reviews the literature on Bachelier's pioneering option pricing model and summarizes the practical results on volatility conversion, risk management, stochastic volatility, and barrier options pricing to facilitate the model transition. In particular, using the displaced Black-Scholes model as a model family with the Black-Scholes and Bachelier models as special cases, we not only connect the two models but also present a continuous spectrum of model choices.

show abstract