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I
Inna1-Visitor
1-Visitor
January 13, 2014
Question

MathCad's "solve" function

  • January 13, 2014
  • 2 replies
  • 3832 views

Hello everybody. I have a very simple question. I'm trying to find implied volatility through Black Scholes, however, MathCad's "solve" function doesn't work in my file. I guess my code is not correct. What should I change in my code? Thanks in advance, Inna

2 replies

W
Werner_E25-Diamond I
25-Diamond I
January 13, 2014

What exactly is it you are after?

You have 40 equations and want to solve for one single variabe sigma and you would like the solution symbolically in terms of the 40 components of an unknown vector C??

I
Inna1-VisitorAuthor
1-Visitor
January 13, 2014

Exactly, I want my answer to be a vector of 40 elements, giving me sigma for each time period.

I
Inna1-VisitorAuthor
1-Visitor
January 13, 2014

Actually it's not going to be a vector C. Vector C stands for call prices which are needed to calculate implied volatility. I need a separate vector for volatility (40 elements).

W
Werner_E25-Diamond I
25-Diamond I
January 13, 2014

One last input: In Mathcad you can use the cumulative normal distribution for the calculation of the call or put option.

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    I
    Inna1-VisitorAuthor
    1-Visitor
    January 14, 2014

    Thanks a lot!

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