Prototype
Function opt_bs_impv(opt_value As Double,
S As Double,
X As Double,
sigma_lower As Double,
sigma_upper As Double,
opt_mat As Double,
r As Double,
q As Double,
putcall As Long,
vol As Long) As Variant
Description
This function uses the routine opt_bs 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.
X - Double : The strike price.
sigma_lower - Double : The lower bound on the implied volatility.
sigma_upper - Double : The upper bound on the implied volatility.
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.
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