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Results tagged with implied-volatility
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user 2257
The volatility of the price of the underlying security that is implied by the market price of an option based on an option pricing model.
8
votes
1
answer
2k
views
Implied volatility and greeks for american option with discrete dividends
What methods are available to calculate IV and greeks for an american option with discrete dividends, and how do they compare?
Should I use Roll-Geske-Whaley and solve for a given option price?
- 1,210
2
votes
1
answer
1k
views
Aprox intraday implied volatility using intraday option prices and EOD greeks
I have two options datasets:
EOD IV and Greeks
Tick option and underlying prices
I'm looking to calculate IV for each tick. Is there a way to approximate the ticks' IV using last EOD Greeks and IV …
- 1,210
7
votes
4
answers
11k
views
How to calculate the implied volatility using the binomial options pricing model
I want to calculate IV for american options with dividends. So far I have found algorithms to calculate the option price given a volatility.
Please can you point me to paper or implementation (R, pyt …
- 1,210