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首页> 外文会议>Proceedings of the Third IASTED International Conference on Financial Engineering and Applications >CLOSED-FORM APPROXIMATE INVERSION OF THE BLACK-SCHOLES FORMULA
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CLOSED-FORM APPROXIMATE INVERSION OF THE BLACK-SCHOLES FORMULA

机译：黑洞公式的闭式近似反演

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摘要

The Black-Scholes formula is arguably the most frequently used formula in finance. In practice, it is often used in the backward direction to invert the implied volatility from observed option prices, usually with some solver method.Solver methods, being aesthetically unappealing, are also slower than closed-form approximations. However, closedform approximations in previous works lack accuracy, often providing option pricing errors well exceeding the bidask spreads. We develop a new closed-form method based on the rational approximation. The rational approximation is much faster than typical solver methods and very accurate for both at-the-money and away-from-the-money options.
机译：布莱克-斯科尔斯公式可以说是金融中最常用的公式。在实践中，通常使用一些求解器方法将其反向使用以从观察到的期权价格中反转隐含波动率，而在美学上没有吸引力的求解器方法也比闭式近似法慢。但是，以前工作中的封闭式近似法缺乏准确性，通常会提供远远超过比分买卖价差的期权定价误差。我们基于有理逼近开发了一种新的闭合形式方法。有理逼近比典型的求解器方法快得多，并且对于平价和价外期权都非常准确。

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