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Building a more accurate basis point volatility formula

chasethedevil.github.io · published 5 April 2014

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http://www.pjaeckel.webspace.virginmedia.com/LetsBeRational.7z
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http://www.clarusft.com/analytic-implied-basis-point-volatility/
clarusft.com
http://www.tandfonline.com/doi/abs/10.1080/13504860802583436
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http://en.wikipedia.org/wiki/Halley%27s_method
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http://en.wikipedia.org/wiki/Newton%27s_method
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http://www.tandfonline.com/doi/abs/10.1080/14697680902849361
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http://en.wikipedia.org/wiki/Straddle
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http://ab-initio.mit.edu/wiki/index.php/Faddeeva_Package
ab-initio.mit.edu
http://3.bp.blogspot.com/-r3FCXrjN13k/U0AHWIg7MRI/AAAAAAAAHGU/yDE6BEPtmIs/s1600/Screenshot+from+2014-04-05+15%253A37%253A03.png
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http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2420757
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