@inproceedings{e74c205a31d749e3a247fe0f017466c2,
title = "Computing implied volatilities for exchange-traded options on dividend-paying stocks",
abstract = "We present an algorithm and its software implementation that computes implied volatilities for exchange-traded stock options. The stocks underlying the options are assumed to pay out dollar cash dividends. The Leisen-Reimer (LR) binomial tree is used for the option pricing that is at the core of the root-finding procedure in searching for the implied volatilities. The Brent's method is used for the root-finding, and the option pricing code is optimised for performance. Tests were made on call and put options traded on the stocks of Microsoft Corporation and Apple Inc. In 0.046 and 0.226 s, respectively, the implemented software program completed the computation for 154 Microsoft and 823 Apple call options.",
keywords = "Brent's method, Dividend-paying stocks, Implied volatility, LR binomial tree, Option pricing, Volatility surface",
author = "Nan Zhang and Man, {Ka Lok}",
note = "Funding Information: This work was supported by the XJTLU Research Development Fund under Grant 10-03-08.; International MultiConference of Engineers and Computer Scientists 2013, IMECS 2013 ; Conference date: 13-03-2013 Through 15-03-2013",
year = "2014",
doi = "10.1007/978-94-007-7684-5_9",
language = "English",
isbn = "9789400776838",
series = "Lecture Notes in Electrical Engineering",
publisher = "Springer Verlag",
pages = "111--123",
booktitle = "Transactions on Engineering Technologies - International MultiConference of Engineers and Computer Scientists 2013",
}