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error message occcurs when using the black model in matlab to compute the implied volatility

Asked by Locks
on 10 Mar 2013


I have the following problem:

I would like to compute the implied volatility using the black model for options on futures, but unfortunately every time this error message occurs:

EDU>> volatility=blkimpv(F_call,K_call,r_call,T_call,Price_call,true) Operation terminated by user during normcdf (line 90)

In blspriceeng (line 134) price(putCalcMask) = X(putCalcMask) .* exp(-r(putCalcMask).*T(putCalcMask)) .* normcdf(-d2(putCalcMask)) - ...

In blsprice (line 133) price = blspriceeng(OutSpec, OptSpec(:), S(:), X(:), r(:), T(:), sig(:), q(:));

In blsimpv>objfcn (line 240) [callValue, putValue] = blsprice(S, X, r, T, volatility, q);

In fzero (line 240) fb = FunFcn(b,varargin{:});

In blsimpv (line 208) [volatility(i), ~, exitFlag] = fzero(@objfcn, [0 limit], options, ...

In blkimpv (line 105) volatility = blsimpv(F, X, r, T, value, limit, r, tol, optionClass);

EDU>> F_short=F_call(1:5,:)

does anybody has an idea why it's not working?

  1 Comment

Walter Roberson
on 10 Mar 2013

"operation terminated by user" means that the user hit control-C to interrupt the program.


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