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Implied Volatility in case of Black Scholes Diffusion

We use the method of Newton Raphson to get the implied volatility according to a market price.
The lower and upper bounds we used are respectively 0.00001 and 100, and the maximum nomber of iterations
we set is 1000. If you get a negative volatility, it means that there exist an arbitrage in your strategy
then, you can't get the right price, unless you change parameters and enter the right ones.



Copyright : Moulong Armel Rodrigue, 2012

Contact: moulongarmel@yahoo.fr