Prototype
Function opt_bin_impv(opt_value As Double,
S As Double,
sigma_lower As Double,
sigma_upper As Double,
X As Double,
opt_mat As Double,
r As Double,
q As Double,
putcall As Long,
nt_steps As Long,
method As Long,
lattice_type As Long,
vol As Long) As Variant
Description
This function uses the routine opt_bin to calculate the volatility implied by a given market option value.
Arguments
opt_value - Double : The current market value of the option.
S - Double : The current value of the stock.
sigma_lower - Double : The lower bound on the implied volatility.
sigma_upper - Double : The upper bound on the implied volatility.
X - Double : The strike price.
opt_mat - Double : The option maturity in years.
r - Double : The continuously compounded interest rate.
q - Double: The continuously compounded dividend rate.
putcall - Long : Indicates whether the option is a put or call.
If putcall = 0 then the option is a call , if putcall = 1 then it is a put.
nt_steps - Long : The number of time steps to be used in the lattice.
method - Long : If method = 0 then the option is European,
If method = 1 then it is American.
when method is greater than 1 this indicates a type of
calculation method to be used. See below for more information
concerning these values.
lattice_type - Long : The type of lattice that is to be used in the calculations.
If lattice_type = 0 then a standard lattice is used,
if lattice_type 1 then a probability half lattice is used.
vol - Long : Indicates the type of method to be used in estimating the implied volatility.
If vol = 0 then a Newton method is used, if vol = 1 then a Bisection method is used.
Returned Values
The implied volatility is returned.
Other Information
Information on enumeration types
List of available routines