Financial Toolbox | ![]() ![]() |
Syntax
Arguments
Description
Volatility = blkimpv(Price, Strike, Rate, Time, CallPrice,
MaxIterations, Tolerance)
returns the implied volatility of an underlying asset using Black's model.
Rate
and Time
must be consistent, e.g., if Rate
is an annualized rate, Time
must be expressed in years.
Examples
Compute the implied volatility of a future with spot price of $104.125, call option strike price of $104.00, risk-free interest rate of 6.33% annually, time to expiration of 66 days, and call option price of $1.515625.
See Also
References
Chriss, Black-Scholes and Beyond: Option Pricing Models, Chapters 4 and 8.
Hull, Options, Futures, and Other Derivative Securities, 2nd edition, pages 259 - 264.
![]() | binprice | blkprice | ![]() |