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Implied Standard Deviation For Black/Scholes Call - Secant Approach

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Secant Approach

Unlike Newton-Ralphson procedure, Secant method does not require the first differential of the of the standard deviation with respect to the price (Black/Scholes) as an input. This makes Secant method a more convenient tool to use. Nevertheless, it does require an initial value for the iteration just as any other numerical procedures. Secant method does not converge as fast as the Newton-Ralphson method.

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