A computation of implied volatility leveraging model-free option-implied information

Muoria Kamaua Department of Mathematics, University of Nairobi, Nairobi, KenyaCorrespondence[email protected]

Ivivi J. Mwanikia Department of Mathematics, University of Nairobi, Nairobi, Kenya

Irene Irungub School of Mathematics, Statistics and Actuarial Science, University of Kent, Canterbury, UK

Richard Kithukaa Department of Mathematics, University of Nairobi, Nairobi, Kenya

Antti Rasilac Mathematics with Computer Science, Guangdong Technion, Shantou, Guangdong, China

(Reviewing editor:)

References

Björk, T. (2020). Arbitrage theory in continuous time. Oxford University Press.
Google Scholar
Brenner, M., & Subrahmanyam, M. G. (1988). A simple formula to compute the implied standard deviation. Financial Analysts Journal, 44(5), 80–83. https://doi.org/10.2469/faj.v44.n5.80
Google Scholar
Fengler, M. R. (2012). Option data and modeling BSM implied volatility. In J. Duan, W. Härdle, & J. Gentle (Eds.), Handbook of computational finance (pp. 117–142). Springer-Verlag.
Google Scholar
Hull, J. C. (2018). Options, futures, and other derivatives. (10th Edition ed.). Pearson.
Google Scholar
Kamau, M., & Mwaniki, I. J. (2023). On a robust estimation of option-implied interest rates and dividend yields. Cogent Economics & Finance, 11(2), 2260658. https://doi.org/10.1080/23322039.2023.2260658
Web of Science ®Google Scholar
Manaster, S., & Koehler, G. (1982). The calculation of implied variances from the Black-Scholes model: A note. The Journal of Finance, 37(1), 227–230. https://doi.org/10.1111/j.1540-6261.1982.tb01105.x
Web of Science ®Google Scholar
Zhang, J. E., & Xiang, Y. (2008). The implied volatility smirk. Quantitative Finance, 8(3), 263–284. https://doi.org/10.1080/14697680601173444
Web of Science ®Google Scholar