Compute implied volatility under the Black-Scholes model.
- Variable: Price The current price of the underlying asset (a futures
contract).
- Variable: Strike Exercise price of the futures option.
- Variable: Rate The risk-free interest rate.
- Variable: Time The time-to-expiry.
- Variable: Value Price of the European option from which the
underlying’s volatility is derived.
- Variable: Limit (Optional, default = 10) Upper bound of the implied
volatility.
- Variable: Tolerance (Optional, default = 1e-6) Tolerance with which the
root-finding method terminates.
- Variable: Class (Optional, default = {’call’}) Option class (call or
put). To specify a call option, use a value of true or {’call’}. To specify
put options, use a value of false or {’put’}.
Computes the implied volatility under the Black-Scholes model from a given
market option price.
See also: blsdelta, blsgamma, blslambda, blsprice, blsrho, blstheta.