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BlackScholes.ImpliedVolatility Method

Computes implied underlying asset volatility.

Namespace:  FinMath.Derivatives
Assembly:  FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
Syntax
C#
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public static double ImpliedVolatility(
	double stockPrice,
	double strikePrice,
	double riskFreeRate,
	double annualDividendYield,
	double timeToMaturity,
	OptionType optionType,
	double optionPrice
)

Parameters

stockPrice
Type: System.Double
Stock price of the underlying asset.
strikePrice
Type: System.Double
Strike price of the undelying asset.
riskFreeRate
Type: System.Double
Risk-free interest rate.
annualDividendYield
Type: System.Double
Annual dividend yield of the underlying asset.
timeToMaturity
Type: System.Double
Time to the expiration date.
optionType
Type: FinMath.Derivatives.OptionType
Type of option (call/put).
optionPrice
Type: System.Double
Option price.

Return Value

Type: Double
Implied volatility.
See Also