Calculating Implied Volatility from an Option's Price Using the Binomial Model

3 years ago
56

I wanted to do a quick video following up with the binomial option model we looked at in an earlier video. I’ll quickly show how we can use Scipy’s function fsolve to solve for the IV. This is a simple extension on concepts we’ve already discussed using Black-Scholes as the p[ricing model.

Binomial Model: https://youtu.be/d7wa16RNRCI

Github: https://github.com/kpmooney/numerical_methods_youtube/blob/master/binomial_model/Binomial%20Model.ipynb

Tip Jar: https://paypal.me/kpmooney

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