Research for profit
by Mehmet Dicle
Implied volatility calculation (Black-Scholes, single option, single maturity)
Implied volatility calculation (Black-Scholes, single option)
Educational purposes only…
Solution is found by iterating the Black and Scholes model for standard deviation range between 0 and 10. Precision is to the fourth decimal (i.e. 0.0827).
Spot price (ex. 30):
Strike price (ex.30):
Maturity date (Today: 2017-05-30):
Risk-free rate (ex. 0.02):
Option Price (ex. 1.10):
Implied volatility calculation (Binomial, put option, single option, single maturity)
Option price calculation (Binomial, multi step)
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© 2015 Research for Profit|Mehmet F. Dicle, Ph.D.