Function to calculate the Black scholes implied volatility of a European Call/Put.
impvol()The Black scholes implied volatility of a European Call/Put.
The user inputs are as follows: Exercise style: chosen between European/American Spot: to be entered in numbers for e.g. 120.50 Strike: to be entered in numbers for e.g. 110.50 Risk free rate per annum: to be entered in decimals. For e.g. 0.05 for 5 per cent Maturity in number of years: to be entered in decimals. For e.g. 0.25 for a quarter year Dividend yield: to be entered in decimals. For e.g. 0.02 for 2 per cent Mkt price: to be entered in numbers for e.g. 12.50 Type of Option: chosen between Call/Put
John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.