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George Tzallas


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20 Jun 2009 Volatility Surface Compute and Plot Volatility Surfaces from Market Prices Author: Rodolphe Sitter

Dear Rodolphe,

I can't understand the method you are using in order to calculate the implied volatility, ImpliedVol(i). Why you don't use newton raphson method or bisection method, in order to match the volatility with the option market price coming from the BS formula?

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