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#1
17th March 2006, 09:30 AM
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implied volatality???
How can I calculate implied volatality of Option.?
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#2
17th March 2006, 10:26 AM
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Re: implied volatality???
You have to use the Black Scholes option pricing model. You keep plugging in volatility figures till the theoretical price given by the model equals the traded option price. Else you can use the Solver function in Excel to do it.
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#3
17th March 2006, 11:09 AM
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Re: implied volatality???
Quote:
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#4
17th March 2006, 11:16 AM
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Re: implied volatality???
No problem, you are welcome
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#5
20th October 2007, 11:47 AM
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Re: implied volatality???
Quote:
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#6
20th October 2007, 11:48 AM
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Re: implied volatality???
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#7
20th October 2007, 06:07 PM
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Re: implied volatality???
The volatility expected by the market over the time frame of the option.
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#8
23rd October 2007, 05:42 PM
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Re: implied volatality???
Here is a nice paper "Putting Volatility to Work" by Ravi Kant Jain.
It was originally published in April 2001 in ActiveTrader magazine. It discusses the concepts of volatility, implied volatility, historical volatility and volatility based option strategies. I recommend you read this very helpful article. http://www.ivolatility.com/news/Volatility_to_work.pdf
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