Comparative Analysis of Root Finding Algorithms for Implied Volatility Estimation of Ethereum Options

Abstract

In this paper, a comparative analysis of traditional and hybrid root finding algorithms is performed in estimating implied volatility for Ethereum Options using the Black–Scholes model. Results indicate the efficiency of Newton–Raphson method in terms of algorithmic convergence as well as computational time. Since Newton–Raphson method may not always lead to convergence, the best approximation technique is chosen from the convergent bracketed methods. The hybrid Bisection–Regula Falsi method serves as the best choice for root estimation among the bracketed methods under consideration. © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2023.