XploRe Help : volatilityaux

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	finance
See also:	volatility nelmin

Quantlet:		volatilityaux
Description:		auxiliary quantlet for volatility

Usage:	`op = volatilityaux(sigma)`
Input:
	`sigma`	scalar, volatility
Output:
	`op`	scalar, implied volatility (from the Black-Scholes formula)

Note:

This quantlet uses a global variable volatilityoptdata which consists of strike price, exercise price, domestic interest rate, time to expiration, dividend amount, kind of option and its price. This quantlet is necessary to find the minimal sigma with the help of nelmin.

Author: K. Komorad, W. Haerdle, 20020104 license MD*Tech