HRIMVOL: Stata module providing simple option implied volatility calculator

Zhiyong Li ()
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Zhiyong Li: University of International Business and Economics

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Language: Stata
Requires: Stata version 13.1
Keywords: option pricing; implied volatility (search for similar items in EconPapers)
Date: 2018-11-17
Note: This module should be installed from within Stata by typing "ssc install hrimvol". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/h/hrimvol.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/h/hrimvol.sthlp help file (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458563

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