Numerical Methods for Solving Implied Volatility in Option Pricing

Li Xing

doi:10.4028/www.scientific.net/AMR.926-930.3115

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Numerical Methods for Solving Implied Volatility in Option Pricing

Abstract:

Implied volatility is an important variable affecting the option price. In the B-S model, other factors can be obtained directly, but implied volatility is not directly. According to B-S model, build on the volatility equation, using Newton iteration to obtain its approximate solution and compare with the classical formula of demand volatility. The example shows that good results can be obtained.