MathCad's "solve" function

[Inna]

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

[Werner_E]

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??

[Inna]

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

[Inna]

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).

[Werner_E]

Here is a sheet set up for numerical evaluation (you would need to provide value(s) for C). Not sure if is is of any help. Solving for the inverse error function symbolically seems to be out of the reach of Mathcad.

[Werner_E]

I see. Its not a system of equations, but I guess Mathcad's symolics is not capable enough to solve that integral equation.

It may work numerically with known values for your vector (or scalar?) C.

[Werner_E]

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

[Inna]

Thanks a lot!