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oBSdd_IV( ) - Black Scholes (Discrete Dividend) Implied Volatility Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oBSdd_IV(CallPut, OptionValue, ValueDate, MaturityDate, Spot, Exercise, RiskFree, Dividends)

Uses the Newton-Raphson iteration procedure to calculate the implied volatility value that equates the given market price of the option with the Black-Scholes (Discrete Dividend) model price of the option. Returns the implied volatility only.

 

 

Option Types

European options on Stocks.

 

 

Function Parameters

Parameters

 

Description

 

Parameter Type

 

Restrictions

.

CallPut

 

Option type.

 

Enumerated Constant

 

1 - Call
2 - Put

Option Value

 

Current market price of the option.

 

Double

 

Option Value > 0

Value Date

 

Valuation date of the option.

 

Date

 

ValDate < MatDate

Maturity Date

 

Maturity date of the option.

 

Date

 

MatDate > ValDate

Spot

Current market price of the underlying asset.

 

Double

 

Spot > 0

Exercise

 

Exercise price of the option.

 

Double

 

Exercise > 0

RiskFree

 

Risk free interest rate, entered as either a single rate (act/365) or as a user defined zero curve object.

 

Double or Curve

 

RiskFree >= 0%

Dividends

 

 

The dividend schedule of the underlying stock. Entered as a range of cells 2 columns wide. The first column is the date while the second is the rate.

 

Curve

 

Each dividend date must be unique.

See Also

Parameter Types

oBSdd( ) - Black Scholes (Discrete Dividend) Function

oBSdd_IS( ) - Black Scholes (Discrete Dividend) Implied Spot Function

oBS_IV( ) - Black Scholes Implied Volatility Function

oBSdd_IX( ) - Black Scholes (Discrete Dividend) Implied Strike Function

In This Section

oBSdd_IV( ) Example 1 - Equity Call Option

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