Comparative Analysis of Root Finding Algorithms for Implied Volatility Estimation of Ethereum Options

【Author】 Sapna, S.; Mohan, Biju R.

【Source】COMPUTATIONAL ECONOMICS

【影响因子】1.741

【Abstract】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.

【Keywords】Implied volatility; Cryptocurrency; Ethereum options; Hybrid algorithms; Black-Scholes model

【发表时间】2023 2023 AUG 18

【收录时间】2023-09-01

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