y**i
发帖数: 13 | | z****u
发帖数: 185 | 2 1) you have a pricer for american options, i.e., given spot, strike,
maturity, VOLATILITY, and so on, this black box can calculate the price of
an American option.
2) given option price, you use this pricer and a root finding method to
calculate the implied vol. | q*x
发帖数: 62 | 3 implied vol is flat vol when resolving the root
【在 z****u 的大作中提到】
: 1) you have a pricer for american options, i.e., given spot, strike,
: maturity, VOLATILITY, and so on, this black box can calculate the price of
: an American option.
: 2) given option price, you use this pricer and a root finding method to
: calculate the implied vol.
| y**i
发帖数: 13 | 4 @zouzou:
thanks for comments! it makes sense.
my first thinking is to use finite-difference to price American Option and
use bisection method to find the root.
what is the most efficient or practical way to do this in terms of choosing
different solver and root finding method?
@qxx:
I don't know much about flat vol.hope some one will comment on this | t**********a
发帖数: 166 | 5 try Barone-Adesi and Whaley approximation and others | h*y
发帖数: 1289 | 6 Came across this article on SSRN
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1905555
to qxx,
I believe you will get a surface by varying strike and ttm |
|
