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On Sat, 9 Aug 1997, Charles F. Corbit III wrote:
> life of the option to see the effects graphically. Anyway, I can calculate
> the strike price, but I am having a hard time calculating implied
> volatility. I thought simple algebra would work, but I am not sure how to
> handle NORMSDIST().
You may calculate the implied volatility using the Newton-Raphson
technique, it converges rapidly to 3 or 4 sig figs. There is an algorithm
in Hull, Options Futures and Other Derivative Securities for estimating
N() to several sig figs. I have posted my Java code used in my option
calculator on the perl newsgroup. Try a dejanews search on 'perl normal
distribution' using the old database. Excel may have a better function
than NR. If you get stuck send me an email and I will retrieve the Java
code. The calculator is at http://www.ilinks.net/~airesearch/
Cheers,
Jim
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