صورة الغلاف

Comparative Analysis of Root Finding Algorithms for Implied Volatility Estimation of Ethereum Options

محفوظ في:
الحاوية / القاعدة:Computational Economics vol. 64, no. 1 (Jul 2024), p. 515
المؤلف الرئيسي: Sapna, S.
مؤلفون آخرون: Mohan, Biju R.
منشور في:
Springer Nature B.V.
الموضوعات:
Newton-Raphson method
Algorithms
Bisection
Convergence
Comparative analysis
Computing time
Volatility
Estimation
Futures
Monte Carlo simulation
Hedging
Institutional investments
Derivatives
Digital currencies
Securities prices
Stochastic models
Methods
Financial analysis
الوصول للمادة أونلاين:Citation/Abstract
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مستخلص:In this paper, a comparative analysis of traditional and hybrid root finding algorithms is performed in estimating implied volatility for Ethereum Options using the Black–Scholes model. Results indicate the efficiency of Newton–Raphson method in terms of algorithmic convergence as well as computational time. Since Newton–Raphson method may not always lead to convergence, the best approximation technique is chosen from the convergent bracketed methods. The hybrid Bisection–Regula Falsi method serves as the best choice for root estimation among the bracketed methods under consideration.
تدمد:0927-7099
1572-9974
0921-2736
DOI:10.1007/s10614-023-10446-8
المصدر:ABI/INFORM Global