public double ImpliedVolatility(ConstantValues.xOptionType argvOptionType, double argvUnderlyingPrice, double argvStrike, double argvTimeToMaturity, double argvYield
, double argvRiskFreeRate, double argvOptionPrice, double argvUpperVol)
{
double tImpliedVolatility = 0.0;
double tUpperVol = argvUpperVol;
double tLowerVol = 0.000001;
double tPrice = this.Price(argvOptionType, argvUnderlyingPrice, argvStrike, argvTimeToMaturity, argvYield, argvRiskFreeRate, tUpperVol);
if (argvOptionPrice > tPrice)
{
tImpliedVolatility = argvUpperVol;
}
else
{
while (tUpperVol - tLowerVol > 0.000001)
{
tImpliedVolatility = (tUpperVol + tLowerVol) / 2;
tPrice = this.Price(argvOptionType, argvUnderlyingPrice, argvStrike, argvTimeToMaturity, argvYield, argvRiskFreeRate, tImpliedVolatility);
if (tPrice > argvOptionPrice)
{
tUpperVol = tImpliedVolatility;
}
else
{
tLowerVol = tImpliedVolatility;
}
}
}
return(tImpliedVolatility);
}
public double Price(ConstantValues.xOptionType argvOptionType, double argvUnderlyingPrice, double argvStrike, double argvTimeToMaturity, double argvYield
, double argvRiskFreeRate, double argvVolatility)
{
double d1 = 0.0;
double d2 = 0.0;
double tPrice = 0.0;
int tOptionTypeMultiplier = 1;
if (argvOptionType == ConstantValues.xOptionType.Put)
{
tOptionTypeMultiplier = -1;
}
if (argvTimeToMaturity == 0)
{
tPrice = Math.Max((argvUnderlyingPrice - argvStrike) * tOptionTypeMultiplier, 0);
}
else if (argvTimeToMaturity < 0)
{
tPrice = 0;
}
else
{
d1 = (Math.Log(argvUnderlyingPrice / argvStrike) + (argvRiskFreeRate - argvYield + argvVolatility * argvVolatility / 2.0) * argvTimeToMaturity)
/ (argvVolatility * Math.Sqrt(argvTimeToMaturity));
d2 = d1 - argvVolatility * Math.Sqrt(argvTimeToMaturity);
tPrice = Math.Exp(-argvYield * argvTimeToMaturity) * tOptionTypeMultiplier * argvUnderlyingPrice * StandardNormalCumulativeDistribution(d1 * tOptionTypeMultiplier)
- Math.Exp(-argvRiskFreeRate * argvTimeToMaturity) * tOptionTypeMultiplier * argvStrike * StandardNormalCumulativeDistribution(d2 * tOptionTypeMultiplier);
}
return(tPrice);
}
