{"title":"更严格的 \"布莱克-斯科尔斯隐含波动率统一界限 \"及其在寻根中的应用","authors":"","doi":"10.1016/j.orl.2024.107189","DOIUrl":null,"url":null,"abstract":"<div><div>Using the option delta systematically, we derive tighter lower and upper bounds of the Black–Scholes implied volatility than those in Tehranchi (2016) <span><span>[11]</span></span>. As an application, we propose a Newton–Raphson algorithm on the log price that converges rapidly for all price ranges when using a new lower bound as an initial guess. Our new algorithm is a better alternative to the widely used naive Newton–Raphson algorithm, whose convergence is slow for extreme option prices.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":0.8000,"publicationDate":"2024-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Tighter ‘uniform bounds for Black–Scholes implied volatility’ and the applications to root-finding\",\"authors\":\"\",\"doi\":\"10.1016/j.orl.2024.107189\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>Using the option delta systematically, we derive tighter lower and upper bounds of the Black–Scholes implied volatility than those in Tehranchi (2016) <span><span>[11]</span></span>. As an application, we propose a Newton–Raphson algorithm on the log price that converges rapidly for all price ranges when using a new lower bound as an initial guess. Our new algorithm is a better alternative to the widely used naive Newton–Raphson algorithm, whose convergence is slow for extreme option prices.</div></div>\",\"PeriodicalId\":54682,\"journal\":{\"name\":\"Operations Research Letters\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.8000,\"publicationDate\":\"2024-09-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Operations Research Letters\",\"FirstCategoryId\":\"91\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0167637724001251\",\"RegionNum\":4,\"RegionCategory\":\"管理学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"OPERATIONS RESEARCH & MANAGEMENT SCIENCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Operations Research Letters","FirstCategoryId":"91","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0167637724001251","RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"OPERATIONS RESEARCH & MANAGEMENT SCIENCE","Score":null,"Total":0}
Tighter ‘uniform bounds for Black–Scholes implied volatility’ and the applications to root-finding
Using the option delta systematically, we derive tighter lower and upper bounds of the Black–Scholes implied volatility than those in Tehranchi (2016) [11]. As an application, we propose a Newton–Raphson algorithm on the log price that converges rapidly for all price ranges when using a new lower bound as an initial guess. Our new algorithm is a better alternative to the widely used naive Newton–Raphson algorithm, whose convergence is slow for extreme option prices.
期刊介绍:
Operations Research Letters is committed to the rapid review and fast publication of short articles on all aspects of operations research and analytics. Apart from a limitation to eight journal pages, quality, originality, relevance and clarity are the only criteria for selecting the papers to be published. ORL covers the broad field of optimization, stochastic models and game theory. Specific areas of interest include networks, routing, location, queueing, scheduling, inventory, reliability, and financial engineering. We wish to explore interfaces with other fields such as life sciences and health care, artificial intelligence and machine learning, energy distribution, and computational social sciences and humanities. Our traditional strength is in methodology, including theory, modelling, algorithms and computational studies. We also welcome novel applications and concise literature reviews.