Re: impliedVolatility always throws exception instead of 0 or 1

Posted by Bojan Nikolic on
URL: http://quantlib.414.s1.nabble.com/impliedVolatility-always-throws-exception-instead-of-0-or-1-tp7284p7287.html


Grant Birchmeier <[hidden email]> writes:

> I was actually computing a European Call option.  I'm not sure how you
> got "1.5065" -- as I understand it, strike+value=underly
> (2+1.505=3.505), which implies a volatility 0.  (I'm not very skilled
> with the financial theory yet, so forgive me if my details are
> wrong.)

The difference arises because of the non-zero risk free rate which
means future values/cash-flows have to be discounted to obtain their
value today.

Best,
Bojan

--
Bojan Nikolic          ||          http://www.bnikolic.co.uk

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