Illustration of Implied Volatility

Draw the function curve of the Black-Scholes (or Black-Scholes-Merton) formula for the value of a put option less the security price, as a function of the volatility, for a given time to expiration also using a slider for the security price as a second variable. The purpose is to illustrate using the Black-Scholes formula to find implied volatility. For a complete explanation with examples, theory, and problems to work see http://www.math.unl.edu/~sdunbar1/MathematicalFinance/Lessons/BlackScholes/ImpliedVolatility/impliedvolatility.html

 

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Resource Type
Activity
Tags
black-scholes  implied  volatility 
Target Group (Age)
14 – 18
Language
English
 
 
GeoGebra version
4.4
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1418
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