Implied Volatility

Posted by Chun-Yuan Chiu

Implied Volatility

Input:
Initial underlying asset price
Strike price
Time to maturity Years
Risk free interest rate (annulized)
Call value
Output:
Implied volatility (annulized)

The root-finding algorithm used here is the bisection method. This calculator only works if the implied volatility is between 0.001 and 10.

Tagged: Black-Scholes model, Implied Volatility

 •  Apr 2, 2013  • 

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