Finance
ImpliedVolatility
compute the implied volatility for a European-style option
Calling Sequence
Parameters
Description
Examples
References
Compatibility
ImpliedVolatility(price, spot, strike, timetomaturity, riskfreerate, dividendyield, optiontype)
ImpliedVolatility(price, spot, payoff, timetomaturity, riskfreerate, dividendyield)
price
-
algebraic expression; option price
spot
algebraic expression; spot price of the underlying asset
strike
algebraic expression; strike price
timetomaturity
algebraic expression; time to maturity (in years)
riskfreerate
algebraic expression; continuously compounded risk-free rate
dividendyield
algebraic expression; continuously compounded dividend yield
optiontype
call or put; option type
payoff
operator or procedure; payoff function
The ImpliedVolatility command computes the implied Black-Scholes volatility for a European-style option given its price.
The parameter price is the option price.
The parameter spot is the initial (current) value of the underlying asset.
The parameter strike specifies the strike price of the option (if this is a call option or a put option). More general payoff can be specified using the payoff parameter. It must be specified in the form of an operator, which accepts one parameter (spot price at maturity) and returns the corresponding payoff.
The riskfreerate and dividendyield parameters are the risk-free rate and the dividend yield. These parameters can be given in either the algebraic form or the operator form.
Compute implied volatilities for an asset with spot price . Assume that the risk-free rate is 5% and the dividend yield is 3%.
First you consider European call and put options with strike price .
In this example you consider a strangle.
Hull, J., Options, Futures, and Other Derivatives, 5th. edition. Upper Saddle River, New Jersey: Prentice Hall, 2003.
The Finance[ImpliedVolatility] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
See Also
Finance[AmericanOption]
Finance[BlackScholesDelta]
Finance[BlackScholesGamma]
Finance[BlackScholesPrice]
Finance[BlackScholesRho]
Finance[BlackScholesTheta]
Finance[BlackScholesVega]
Finance[EuropeanOption]
Finance[LatticePrice]
Finance[LocalVolatility]
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