/MA6628-assignment4

calculate BSM call price with given sigma and calibration the implied volatility with given call price

Primary LanguagePython

assignment4

This project has two parts:

  1. calculate BSM call price with given sigma
  2. calibration the implied volatility with given call price

the structure of code is as following:

  1. calculate the call price with given sigma(0.3) by BSM
  2. calculate the implied volatility with given call price(9.23)

for detailed code and description, please refer to https://github.com/wallace2213/MA6628-assignment4/blob/master/BSM%20call%20calculation%20and%20calibration%20volatility.py

result and output

the BSM call price with 30% volatility=19.77 which is much larger than the market call price 9.23

the implied volatility with given market call price= 11.8%