Function File: Volatility = blsimpv (Price, Strike, Rate, Time, Value)

Function File: Volatility = blsimpv (Price, Strike, Rate, Time, Value, Limit)

Function File: Volatility = blsimpv (Price, Strike, Rate, Time, Value, Limit, Yield)

Function File: Volatility = blsimpv (Price, Strike, Rate, Time, Value, Limit, Yield, Tolerance)

Function File: Volatility = blsimpv (Price, Strike, Rate, Time, Value, Limit, Yield, Tolerance, Class)

Computes implied volatility under the Black-Scholes model.

• Variable: Price The current price of the underlying asset.
• Variable: Strike The strike price the option is written on.
• 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: Yield (Optional, default = 0) Annualized, continuously compounded rate of dividends of the underlying asset.
• 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.

Package: financial