Scholarlink

In this chapter we show how to compute the implied volatility of a given option price. As inputs in the Black–Scholes–Merton option pricing formula we need five parameters such as asset price, exercise price, time to expiry, risk-free interest rate and volatility, among which the volatility is not observable. However, we can find it when all other parameters and the option price are given.

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Numerical Computation of Implied Volatility

  • 章节

  • 发表日期：

    2026年

查看全文
  • Geon Ho Choe

摘要

In this chapter we show how to compute the implied volatility of a given option price. As inputs in the Black–Scholes–Merton option pricing formula we need five parameters such as asset price, exercise price, time to expiry, risk-free interest rate and volatility, among which the volatility is not observable. However, we can find it when all other parameters and the option price are given.