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

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Pubblicato in:Computational Economics vol. 64, no. 1 (Jul 2024), p. 515
Autore principale: Sapna, S.
Altri autori: Mohan, Biju R.
Pubblicazione:
Springer Nature B.V.
Soggetti:
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
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Abstract: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.
ISSN:0927-7099
1572-9974
0921-2736
DOI:10.1007/s10614-023-10446-8
Fonte:ABI/INFORM Global