help hrimvol >----------------------------------- Title hrimvol -- A simple option implied volatility caculator Syntax hrimvol
Description We use bisection algorithm to compute the European call option implied volatility. If you want to compute put option volatility, you can use call-put parity to compute the corresponding call price. There are 6 parameters in our codes, s0 denotes current price, k denotes strike price, time denotes maturity, r denotes risk-free rate, d detones dividend, C denotes the trading price of call option. Examples if we want to compute the implied volatility of a call option. s0=49.55,k=53,time=0.046,r=0.047,d=0.02,C=0.6 the corresponding codes to compute the implied volatility should be: hrimvol 49.55 53 0.046 0.047 0.02 0.6 Authors Zhiyong Li University of International Business and Economics Beijing,China lizhiyong618@foxmail.com Acknowledgement Special thanks to HR, she is really an amazing and attractive girl. Wish her happy everyday.