Implied Volatility Solvers

An Object-oriented Approach

Implied Volatility Solvers

Postby resident76 » Mon Jun 07, 2010 5:32 pm

I was wondering if Cuchulainn might be able to provide some tips or insights into piecing together a IV solver that would mesh well with the binomial pricing example provided in Chpt 15.

I've put together the early exercise provision as well as the Greeks, but I'm not very sure as how to tackle implementing a general IV solver. I have the solver methods together as template functions, but I'm not clear on how to incorporate them into the framework (design patterns used in the example).

Any suggestions?


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Re: Implied Volatility Solvers

Postby vincymol » Thu Dec 14, 2017 12:03 pm

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