GS.Options

вторник, 31 августа 2021 г.

Calc, Vola, Price, Options

https://quant.stackexchange.com/questions/7761/a-simple-formula-for-calculating-implied-volatility

vol ~ Root(2pi/T) C/S

Newton-Raphson
https://www.risklatte.xyz/Articles/QuantitativeFinance/QF135.php

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1027282

https://en.wikipedia.org/wiki/Newton%27s_method#Pseudocode


σ≈2πT−−−⎷.CS
на августа 31, 2021
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Ярлыки: Calc, Options, Price, Vola

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