如何求解BS模型中的波动率？

参考文献一篇，历史波动率和隐含波动率的计算的。

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• volatility_calculation.pdf

2005-9-26 10:40:00 上传

如何求解BS模型中的波动率？

以下是VBA的程序：

Function dOne(Stock, Exercise, Time, Interest, Dividend, sigma) dOne = (Log(Stock / Exercise) + (Interest - Dividend) * Time) / (sigma * Sqr(Time)) _ + 0.5 * sigma * Sqr(Time) End Function

Function CallOption(Stock, Exercise, Time, Interest, Dividend, sigma) CallOption = Stock * Exp(-Dividend * Time) * _ Application.NormSDist(dOne(Stock, Exercise, Time, Interest, Dividend, sigma)) _ - Exercise * Exp(-Time * Interest) * _ Application.NormSDist(dOne(Stock, Exercise, Time, Interest, Dividend, sigma) _ - sigma * Sqr(Time)) End Function Function CallVolatility(Stock, Exercise, Time, Interest, Dividend, Target) High = 2 Low = 0 Do While (High - Low) > 0.0001 If CallOption(Stock, Exercise, Time, Interest, Dividend, (High + Low) / 2) > _ Target Then High = (High + Low) / 2 Else: Low = (High + Low) / 2 End If Loop CallVolatility = (High + Low) / 2 End Function

隐含波动率的计算，具体的逻辑是什么？