Note: This page has been translated by MathWorks. Please click here

To view all translated materials including this page, select Japan from the country navigator on the bottom of this page.

To view all translated materials including this page, select Japan from the country navigator on the bottom of this page.

Black-Scholes implied volatility

`Volatility = blsimpv(Price,Strike,Rate,Time,Value)`

`Volatility = blsimpv(___,Limit,Yield,Tolerance,Class)`

using a Black-Scholes model computes the implied volatility of an underlying
asset from the market value of European call and put options.`Volatility`

= blsimpv(`Price`

,`Strike`

,`Rate`

,`Time`

,`Value`

)

The input arguments `Price`

,
`Strike`

, `Rate`

,
`Time`

, `Value`

,
`Yield`

, and `Class`

can be
scalars, vectors, or matrices. If scalars, then that value is used to
compute the implied volatility from all options. If more than one of
these inputs is a vector or matrix, then the dimensions of all
non-scalar inputs must be the same.

Also, ensure that `Rate`

,
`Time`

, and `Yield`

are expressed
in consistent units of time.

[1] Hull, John C. *Options, Futures, and Other Derivatives.* *5th
edition*, Prentice Hall, 2003.

[2] Luenberger, David G. *Investment Science.* Oxford
University Press, 1998.

Was this topic helpful?