Comparative Analysis of Root Finding Algorithms for Implied Volatility Estimation of Ethereum Options
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 computatio...
Saved in:
Published in | Computational economics Vol. 64; no. 1; pp. 515 - 550 |
---|---|
Main Authors | , |
Format | Journal Article |
Language | English |
Published |
New York
Springer US
01.07.2024
Springer Nature B.V |
Subjects | |
Online Access | Get full text |
Cover
Loading…
Summary: | 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 |
DOI: | 10.1007/s10614-023-10446-8 |