Documentation |
Implied volatility for futures options from Black model
Volatility = blkimpv(Price, Strike, Rate, Time, Value, Limit,
Tolerance, Class)
Price | Current price of the underlying asset (a futures contract). |
Strike | Exercise price of the futures option. |
Rate | Annualized, continuously compounded risk-free rate of return over the life of the option, expressed as a positive decimal number. |
Time | Time to expiration of the option, expressed in years. |
Value | Price of a European futures option from which the implied volatility of the underlying asset is derived. |
Limit | (Optional) Positive scalar representing the upper bound of the implied volatility search interval. If Limit is empty or unspecified, the default = 10, or 1000% per annum. |
Tolerance | (Optional) Implied volatility termination tolerance. A positive scalar. Default = 1e-6. |
Class | (Optional) Option class (call or put) indicating the option type from which the implied volatility is derived. May be either a logical indicator or a cell array of characters. To specify call options, set Class = true or Class = {'call'}; to specify put options, set Class = false or Class = {'put'}. If Class is empty or unspecified, the default is a call option. |
Volatility = blkimpv(Price, Strike, Rate, Time, CallPrice, MaxIterations, Tolerance) computes the implied volatility of a futures price from the market value of European futures options using Black's model.
Volatility is the implied volatility of the underlying asset derived from European futures option prices, expressed as a decimal number. If no solution is found, blkimpv returns NaN.
Any input argument may be a scalar, vector, or matrix. When a value is a scalar, that value is used to compute the implied volatility of all the options. If more than one input is a vector or matrix, the dimensions of all nonscalar inputs must be identical.
Rate and Time must be expressed in consistent units of time.