I am struggling to understand how to model implied volatility for German stock market. I found in one article that I have to specify first the forward price to which it is associated using put call parity. they stated a formula but without citation from where they come up with it. Can anybody provide me with a SCIENTIFIC ARTICLE or a book containing this formula (formula of implied forward price ) . Secondly, how can I calculate this formula if I have a long period (i.e between 2000 and 2018), will I only use excel or there is any statistical package that I can use to calculate it. You can save my life if you can clarify me this. Million thanks in advance !

  • $\begingroup$ What formula are you talking about ? If you do not state the question unabiguously people cannot help you. $\endgroup$ – Ezy Dec 25 '18 at 0:37
  • $\begingroup$ Thank you so much for your advice. I am talking about the formula of implied forward price ( F(0,T)= K + ert (C (k,T) – P (k,T) ) should be: $\endgroup$ – Sawsan Sarita Dec 25 '18 at 1:02
  • $\begingroup$ That one is only true for european options and follows directly from the fact that the same relation is true at the option’s expiry. Just write down what it looks like at time T using $F(T,T)= S_T$ $\endgroup$ – Ezy Dec 25 '18 at 1:04
  • $\begingroup$ Thank you so much for your prompt reply, however I only can find this formula in one article which is only an unpolished article. I need to find it in a book or scientific article to be able to cite it $\endgroup$ – Sawsan Sarita Dec 25 '18 at 1:37
  • $\begingroup$ It is in any quantitative finance book. Check Hull’s. Or better read the wikipedia article: en.m.wikipedia.org/wiki/Put%E2%80%93call_parity?wprov=sfti1 $\endgroup$ – Ezy Dec 25 '18 at 15:03

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