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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