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Using Householder’s method to improve the accuracy of the closed-form formulas for implied volatility

Crossref DOI link: https://doi.org/10.1007/s00186-021-00763-9

Published Online: 2021-12-25

Published Print: 2021-12

Update policy: https://doi.org/10.1007/springer_crossmark_policy

Authors

Miao, Daniel Wei-Chung https://orcid.org/0000-0001-8082-1578
Lin, Xenos Chang-Shuo

Lin, Chang-Yao
License Information

Text and Data Mining valid from 2021-12-01

Version of Record valid from 2021-12-01
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Article History

Received: 29 October 2020

Revised: 12 October 2021

Accepted: 3 November 2021

First Online: 25 December 2021