Bisection Archives - Simplify Quant | Making Quant Finance Easier

Exploring Implied Volatility in Depth

By Shailendra, FRM, CQF January 9, 2024Options

Introduction & Definition Implied Volatility (IV) serves as a crucial indicator in the realm of options trading, encapsulating the market's perception of potential future fluctuations in an asset's price. This…

Implied Volatility: Newton-Raphson and Bisection Method

By Shailendra, FRM, CQF January 3, 2024Python Code

Newton-Raphson Method import numpy as np import matplotlib.pyplot as plt from scipy.stats import norm import math def bsm_option_price(S, K, T, r, sigma, option_type='call'): d1 = (math.log(S / K) + (r…