Financial Toolbox

blsimpv

Syntax

Volatility = blsimpv(Price, Strike, Rate, Time, Call, MaxIterations)

Arguments

Price	Current asset price.
Strike	Exercise price.
Rate	Risk-free interest rate. Enter as a decimal fraction.
Time	Time to maturity in years.
Call	Call option value.
MaxIterations	(Optional) Maximum number of iterations used in solving for Volatility using Newton's method. Default = 50.

Description
Volatility = blsimpv(Price, Strike, Rate, Time, Call, MaxIterations) returns the implied volatility of an underlying asset, using Newton's method.

Note:   This function uses normcdf and normpdf, the normal cumulative distribution and normal probability density functions in the Statistics Toolbox.

Examples
An asset has a current price of $100, an exercise price of $95, the risk free interest rate is 7.5%, the time to maturity of the option is 0.25 years, and the call option has a value of $10.00.

Vol = blsimpv(100, 95, 0.075, 0.25, 10)

Vol =
    0.3130 (or 31.3%)

See Also
blsprice

References
Bodie, Kane, and Marcus, Investments, page 681.

blsgamma

blslambda