Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding

Jaehyuk Choi, Jeonggyu Huh, Nan Su

Using the option delta systematically, we derive tighter lower and upper bounds of the Black-Scholes implied volatility than those in Tehranchi [SIAM J. Financ. Math. 7 (2016), 893…