Note: This page has been translated by MathWorks. Click here to see

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

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

Implied volatility for futures options from Black model

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

`Volatility = blkimpv(___,Name,Value)`

computes the implied volatility of a futures price from the market value of European
futures options using Black's model. If the `Volatility`

= blkipmv(`Price`

,`Strike`

,`Rate`

,`Time`

,`Value`

)`Class`

name-value
argument is empty or unspecified, the default is a call option

Any input argument can 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.

Ensure that `Rate`

and `Time`

are
expressed in consistent units of time.

specifies options using one or more name-value pair arguments in addition to the
input arguments in the previous syntax.`Volatility`

= blkimpv(___,`Name,Value`

)

[1] Hull, John C. *Options, Futures, and Other Derivatives.*
*5th edition*, Prentice Hall, 2003, pp. 287–288.

[2] Jäckel, Peter. "Let's Be
Rational." *Wilmott Magazine.*, January, 2015 (https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10395).

[3] Black, Fischer. “The Pricing of Commodity Contracts.” *Journal
of Financial Economics.* March 3, 1976, pp. 167–79.