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Calculate implied volatility from option premium

Discussion in 'Options' started by as586, Jun 19, 2013.

tayte
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Quote from panzerman:

Yes, but NR is a derivative technique. If the price-volatility curve is relatively smooth, such as European style exercise, fine. If the curve has discontinuities, or inflection points, then NR can blow up.
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Then you gotta have a kick-ass initial guess, lol

#11 Jun 20, 2013

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