Using the Newton-Raphson Method with Automatic Differentiation to Numerically Solve Implied Volatility of Stock Option through Binomial Model

Wanchaloem Wunkaew, Yuqing Liu, Kirill V. Golubnichiy

In the paper written by Klibanov et al, it proposes a novel method to calculate implied volatility of a European stock options as a solution to ill-posed inverse problem for the Bl…