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%% Compute the Implied Volatility Using the Black-Scholes Option Pricing Model % This example shows how to compute the implied volatility using the % Black-Scholes option pricing model. Consider a European call and put % options with an exercise price of $40 that expires on June 1, 2008. The % underlying stock is trading at $45 on January 1, 2008 and the risk-free % rate is 5% per annum. The option price is $7.10 for the call and $2.85 % for the put. Using this data, calculate the implied volatility of the % European call and put using the Black-Scholes option pricing model. %% % Copyright 2015 The MathWorks, Inc. AssetPrice = 45; Settlement = 'Jan-01-2008'; Maturity = 'June-01-2008'; Strike = 40; Rates = 0.05; OptionPrice = [7.10; 2.85]; OptSpec = {'call';'put'}; % define the RateSpec and StockSpec RateSpec = intenvset('ValuationDate', Settlement, 'StartDates', Settlement,... 'EndDates', Maturity, 'Rates', Rates, 'Compounding', -1, 'Basis', 1); StockSpec = stockspec(NaN, AssetPrice); ImpvVol = impvbybls(RateSpec, StockSpec, Settlement, Maturity, OptSpec,... Strike, OptionPrice) %% % The implied volatility is 31.75% for the call and 48.78% for the put.