options_implied-vol
Calculate implied volatility from option market prices via Newton-Raphson solver. Input spot, strike, expiration, risk-free rate, and observed price to derive volatility values converging in 5-8 iterations.
Instructions
Newton-Raphson implied volatility solver. Converges in 5-8 iterations.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| S | Yes | Spot price of the underlying asset | |
| K | Yes | Strike price | |
| T | Yes | Time to expiration in years | |
| r | No | Risk-free interest rate (annualized) | |
| q | No | Continuous dividend yield | |
| market_price | Yes | Observed market price of the option | |
| type | No | Option type | call |