SI
SI
discoversearch

We've detected that you're using an ad content blocking browser plug-in or feature. Ads provide a critical source of revenue to the continued operation of Silicon Investor.  We ask that you disable ad blocking while on Silicon Investor in the best interests of our community.  If you are not using an ad blocker but are still receiving this message, make sure your browser's tracking protection is set to the 'standard' level.
Pastimes : Clown-Free Zone... sorry, no clowns allowed -- Ignore unavailable to you. Want to Upgrade?


To: s.pecunius who wrote (114383)7/26/2001 2:11:15 PM
From: pater tenebrarum  Respond to of 436258
 
i actually made a mistake there: it's not the option pricing model (as you say, vola and rates are independent variables in it), it's the implied volatility calculation itself that contains a rate component.

i don't know the exact formula off the cuff, but the following components flow into the implied volatility calculation:

time to expiration, strike price, price of underlying, risk free interest rate and option price itself.