BinomialImpliedVolatility Method (Double, Double, Double, Dividend, Double, OptionType, OptionStyle, Int32, Double, Double)

public static double ImpliedVolatility(
	double stockPrice,
	double strikePrice,
	double riskFreeRate,
	Dividend[] dividends,
	double timeToMaturity,
	OptionType optionType,
	OptionStyle optionStyle,
	int steps,
	double optionPrice,
	out double delta
)

Parameters

stockPrice

Type: SystemDouble
Stock price of the underlying asset.

strikePrice

Type: SystemDouble
Strike price of the undelying asset.

riskFreeRate

Type: SystemDouble
Risk-free interest rate.

dividends

Type: FinMath.DerivativesDividend
Underlying asset dividends.

timeToMaturity

Type: SystemDouble
Time to the expiration date.

optionType

Type: FinMath.DerivativesOptionType
Type of option (call/put).

optionStyle

Type: FinMath.DerivativesOptionStyle
Option style.

steps

Type: SystemInt32
Number of steps in binomial model.

optionPrice

Type: SystemDouble
Option price.

delta

Type: SystemDouble
Option delta.

Return Value

Reference