@inproceedings{2957057bc1384a13ac64b328aab33870,
title = "Implied Volatilities of S&P 100 Index with Applications to Financial Market",
abstract = "This paper studies the implied volatilities of the S &P 100 from the prices of the American put options written on the same index. The computations are based on a recursive Binomial algorithm with prescribed error tolerance. The results show that the volatility smile exists, thus the classic Black-Scholes's approach of using a constant volatility for pricing options with different trading conditions is not plausible. The method discussed in this work contrasts the likelihood ratio method contained in [6]. Further studies with expanded data set are recommended for comparing the effectiveness of these two methods in forecasting stock market shocks.",
keywords = "Binomial Methods, Implied Volatility, Option Pricing",
author = "Jin Zheng and Nan Zhang and Dejun Xie",
year = "2013",
doi = "10.1007/978-3-642-38027-3_75",
language = "English",
isbn = "9783642380266",
series = "Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)",
publisher = "Springer Verlag",
pages = "694--699",
booktitle = "Grid and Pervasive Computing - 8th International Conference, GPC 2013 and Colocated Workshops, Proceedings",
note = "8th International Conference on Grid and Pervasive Computing, GPC 2013 ; Conference date: 09-05-2013 Through 11-05-2013",
}