Category: Options

Implied Volatility Calculator

The Black-Scholes model can be used to estimate implied volatility. Implied Volatility can be estimated using  spot price, strike price, asset price, risk-free rate, time to maturity, and dividend yield. To achieve this, given an actual option value, you have to iterate to find the volatility solution. There are various techniques available; however we will use […]

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Find Implied Dividend Yield from Option Prices

Dividend estimates are, not only of interest to equity investors who want to earn a steady income, but they also play an important role in derivative pricing for equity forwards, futures, and options including dividend futures and options. This post shows how to calculate the implied dividend of an option. The implied dividend yield is the […]

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Simulating Call Option Variance Reduction

A common shortcoming of standard Monte Carlo Simulation is the required computing resources and time. MC simulation typically has an error variance of σ2/n.To achieve a desired accuracy in a crude MC simulation, the sampling is conducted with a larger value of n. But this approach decreases the efficiency of the simulation. In this post, I will explore few […]

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Binomial Option Pricing Excel

A Primer on Binomial Option Pricing A binomial tree represents the different possible paths a stock price can follow over time.To define a binomial tree model, a basic period length is established, such as a month. If the price of a stock is known at the beginning of a period, the price at the beginning […]

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All spreadsheets now pulling quotes from Bloomberg API

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