I am trying to use the newton raphson method to solve the implied asset value and implied asset volatility.
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the idea is to solve a simultaneaous system for two unknowns, implied asset value and implied asset volatility. The simultaneous equation is
E= A N(d_1 )- 〖Be〗^(-rT) N(d_2)
σ_(E )E =N(d_1)A σ_A
with d_1=ln〖A/B+ (r+1/2 σ_A^(2 ) ) T〗/(σ_A√T)
d_2= d_1 - σ_A√T
I want to solve A (implied asset value) and σ_A (implied asset volatility), IF E=10, σ_(E )=0.60, B=10 and r=0.05, T=2
How do I write the code in matlab to solve the system for two unkowns?
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