Numerical Computation of Implied Volatility

Geon Ho Choe
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Geon Ho Choe: Korea Advanced Institute of Science and Technology, Department of Mathematical Sciences

Chapter Chapter 17 in Quantitative Methods for Finance with Simulations II, 2026, pp 325-334 from Springer

Abstract: Abstract In this chapter we show how to compute the implied volatility of a given option price. As inputs in the Black–Scholes–Merton option pricing formula we need five parameters such as asset price, exercise price, time to expiry, risk-free interest rate and volatility, among which the volatility is not observable. However, we can find it when all other parameters and the option price are given.

Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-032-12331-2_17

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DOI: 10.1007/978-3-032-12331-2_17

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