An Improved Approach to Computing Implied Volatility
研究了三种近似隐含波动率的模型，并提出了Chance模型的简化扩展，测试显示新模型精度显著提高。
Abstract A well‐known problem in finance is the absence of a closed form solution for volatility in common option pricing models. Several approaches have been developed to provide closed form approximations to volatility. This paper examines Chance's (1993, 1996) model, Corrado and Miller's (1996) model and Bharadia, Christofides and Salkin's (1996) model for approximating implied volatility. We develop a simplified extension of Chance's model that has greater accuracy than previous models. Our tests indicate dramatically improved results.