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calcBSImpVol(cp,P,S​,K,T,r,q)

version 1.13.0.0 (7.25 KB) by Mark Whirdy
Calculates Black-Scholes Implied Volatility for Full Surface at High Speed

2.2K Downloads

Updated 11 Feb 2018

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Calculates Black-Scholes Implied Volatility Surface for an Option Price Matrix.
Uses Li's Rational Function Approximator for the Initial Estimate, followed by
3rd-Order Householder's Root Finder (i.e. using vega,vomma & ultima) for greater
convergence rate and wider domain-of-convergence relative to Newton-Raphson. Both
Li's Approximator and the Root Finder are calculated matrix-wise (i.e.
fully vectorized) for increased efficiency.

Cite As

Mark Whirdy (2021). calcBSImpVol(cp,P,S,K,T,r,q) (https://www.mathworks.com/matlabcentral/fileexchange/41473-calcbsimpvol-cp-p-s-k-t-r-q), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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