Vola of the stock no influence of the implied volatility using the Black option pricing model

3 views (last 30 days)
Mirko on 5 Apr 2013
Vola of the stock no influence of the implied volatility using the Black option pricing model
QUESTION: If I Change the vola Input (Sigma) of the underlying stock the vola of the Option does not Change. I do not understand why, can somebody help?
if true
% code
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Rate calcullations %%%%%%%%%%%%%%%
Compounding = 1; Rates = [0.02; 0.02; 0.02; 0.02]; StartDates = ['01-Jan-2000'; '01-Jan-2001'; '01-Jan-2002'; '01-Jan-2003']; EndDates = ['01-Jan-2015'; '01-Jan-2016'; '01-Jan-2017'; '01-Jan-2018']; ValuationDate = '01-Jan-2000';
RateSpec = intenvset('Compounding',1,'Rates', Rates,'StartDates', StartDates, 'EndDates', EndDates,'ValuationDate', ValuationDate);
%%%%%%%%%%%%% Underlying calcullations %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
Sigma = .01 %This should has a strong influence on the vola of the Option but if the Sigma is changed the vola of Option does not Change. From my Prior experience this should be a strong Faktor. Try different Sigma numbers here from .9 to .01 I do not understand why.
StockSpec = stockspec(Sigma, 2548)
%%%%%%%%%%%%%%%% Options Calcullations %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
OptSpec = {'put'}; Settle = '01-Jan-2011'; Maturity = '01-Jun-2013'; Strike = [2550]; OptPrice = [21.14];
VolatilityOption = impvbyblk(RateSpec, StockSpec, Settle, Maturity,OptSpec, Strike, OptPrice)
end