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Using Householder's method to improve the accuracy of the closed-form formulas for implied volatility.

Daniel Wei-Chung MiaoXenos Chang-Shuo LinChangyao Lin
Published in: Math. Methods Oper. Res. (2021)
Keyphrases
  • closed form
  • high accuracy
  • iterative procedure
  • parameter estimation
  • template matching
  • multiresolution
  • cost function
  • mutual information