Publication
Title
A parametrized barycentric approximation for inverse problems with application to the BlackScholes formula
Author
Abstract
We introduce a method to construct a bivariate rational approximation particularly suited to accurately and compactly represent the inverse of a bivariate function. At the core of the method is a parametrized barycentric form of which the involved unknowns are determined from a sequence of univariate approximations. Our exposition focuses on the inversion of the BlackScholes formula, yielding an accurate expression for the implied volatility. We demonstrate that our result significantly improves the accuracy of existing bivariate approximations, and, based on S&P 500 Index option data, we show that the accuracy gain proves to be practically relevant. Using the obtained coefficients, included in this article, the approach can easily be implemented.
Language
English
Source (journal)
IMA journal of numerical analysis. - London, 1981, currens
IMA journal of numerical analysis. - London, 1981, currens
Publication
London : 2018
ISSN
0272-4979 [print]
1464-3642 [online]
Volume/pages
38 :2 (2018) , p. 976-997
ISI
000440922300013
Full text (Publisher's DOI)
Full text (open access)
Full text (publisher's version - intranet only)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 23.04.2018
Last edited 20.09.2021
To cite this reference