Financial Innovation

Table 5 Root mean square error (RMSE) and mean convergence count (MCC) of the estimated and benchmark Black–Scholes implied volatility

From: Implied volatility estimation of bitcoin options and the stylized facts of option pricing

DTM	Data set I				Data set II
	Newton Raphson		Bisection		Newton Raphson		Bisection
	RMSE	MCC	RMSE	MCC	RMSE	MCC	RMSE	MCC
14	0.001	3.25	0.099	28.88	0.001	3.67	0.001	20.25
13	0.001	3.78	0.003	27.44	0.001	3.77	0.001	20.00
12	0.001	3.89	0.001	19.88	0.001	4.00	0.002	20.07
11	0.001	3.56	0.002	19.44	0.001	4.42	0.001	20.32
10	0.001	3.78	0.001	18.89	0.001	4.63	0.003	19.68
9	0.001	4.00	0.001	18.89	0.001	4.74	0.012	23.89
8	0.001	3.91	0.189	27.27	0.001	5.00	0.029	23.84
7	0.001	4.31	0.001	19.88	0.001	5.21	0.079	22.32
6	0.001	4.38	0.001	19.88	0.001	5.09	0.001	20.12
5	0.001	4.44	0.002	24.00	0.002	5.09	0.159	21.68
4	0.523	4.67	0.639	39.13	0.216	5.15	0.414	26.00
3	0.540	10.31	0.578	24.00	0.001	5.24	0.099	21.79
2	0.446	4.56	1.176	34.25	0.001	5.68	0.099	21.56

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