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LeezaR LeezaR
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10 years ago
What is mathematical formula to calculate implied volatility from option price i.e reversal of BS model? ?
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10 years ago
From John Hull's text book, It is not possible to invert the BS equation so that the volatility can be expressed as a function of S X r T and c.  However an iterative search can be used to find the implied volatility.  That is, plug  in vol to the calculation and repeat this until you get the implied volatility
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