Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Implied-Volatility-Review-tp7385p7386.html
On Tue, 2009-04-07 at 13:30 +1000, Sumit Gupta wrote:
> I tried to write a simple program to calculate IV for both - American
> and European options. I am simply recalculating the theoretical price
> and comparing it with the required price of the user. It is more like
> a binary search algorithm where I divide the difference between
> volatility range by two and apply it, until I find the matching price.
> I checked with a couple of examples and got my answer reasonably close
> (3 decimals) to the values from www.ASX.com.au
>
> Please review it and provide me with your valuable insight.
Looks ok. How different were the results for European options if you
called
europeanOption.impliedVolatility(newPrice, bsmProcess);
instead of running the loop? Namely, how different were the implied
volatilities and how different were the prices you obtained if you fed
the implied volatilities back into the process?
Luigi
--
Can't act. Slightly bald. Also dances.
-- RKO executive, reacting to Fred Astaire's screen test.
Cerf/Navasky, "The Experts Speak"
------------------------------------------------------------------------------
This SF.net email is sponsored by:
High Quality Requirements in a Collaborative Environment.
Download a free trial of Rational Requirements Composer Now!
http://p.sf.net/sfu/www-ibm-com_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users