@inproceedings{8ff5b690de4743359e7be7008845f688,

title = "Fast generation of implied volatility surface for exchange-traded stock options",

abstract = "We present an algorithm and its software implementation that computes implied volatilities for exchangetraded stock options. The LR (Leisen-Reimer) binomial tree is used for the underlying option pricing, which is adjusted for dollar cash dividends. The Brent's method is used as the root-finding procedure. The option pricing procedure that is at the core of the root-finding is optimised to maximise the 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 seconds, respectively, the implemented generator finished computing the implied volatilities for 154 Microsoft and 823 Apple call options.",

keywords = "Brent's method, Implied volatility, LR binomial tree, Option pricing, Volatility surface generation",

author = "Nan Zhang and Man, {Ka Lok}",

year = "2013",

language = "English",

isbn = "9789881925268",

series = "Lecture Notes in Engineering and Computer Science",

publisher = "Newswood Limited",

pages = "741--746",

booktitle = "Proceedings of the International MultiConference of Engineers and Computer Scientists 2013, IMECS 2013",

note = "International MultiConference of Engineers and Computer Scientists 2013, IMECS 2013 ; Conference date: 13-03-2013 Through 15-03-2013",

}