# Implied volatility for American options- time to expiration?

I am trying to compute the implied volatility of the OBM contract (on Euronext), using R, and I was wondering if, for the time to maturity, I should put the time until the contract expires or the time until the last trading day of the option. There is a difference.. For example : an option expiring on the 10th of March can be traded until February the 15th of the same year.

• If you already have available a function that computes the Black & Scholes implied volatility (typically implemented using a root search algorithm such as Newton-Raphson to find the volatility such that the recomputed price matches the inputted price, as mentionned by @Alex C), then you can use it for Black 76 by setting the dividend rate equal to the interest rate. This is because the risk neutral drift for the underlying is $E[dS/S] = (r - d) dt$ where $r$ is the interest rate and $d$ is the dividend rate, so that taking $d = r$ will ensure that $S$ has zero drift. – Antoine Conze Oct 30 '18 at 10:03