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• É趨²ÎÊý[/*]
• r=0.032 # risk-free interest rate[/*]
• t=float(30)/365 # time to expire (30 days)[/*]
• q=0 # dividend yield[/*]
• S0=2.3 # underlying price[/*]
• X=2.2 # strike price[/*]
• mktprice=0.18 # market price[/*]
• # Óöþ·Ö·¨Çóimplied volatility£¬ÔÝÖ»Õë¶Ôcall option[/*]
• sigma=0.3 # initial volatility[/*]
• C=P=0[/*]
• upper=1[/*]
• lower=0[/*]
• while abs(C-mktprice)>1e-6:[/*]
• d1=(np.log(S0/X)+(r-q+sigma**2/2)*t)/(sigma*np.sqrt(t))[/*]
• d2=d1-sigma*np.sqrt(t)[/*]
• C=S0*np.exp(-q*t)*norm.cdf(d1)-X*np.exp(-r*t)*norm.cdf(d2)[/*]
• P=X*np.exp(-r*t)*norm.cdf(-d2)-S0*np.exp(-q*t)*norm.cdf(-d1)[/*]
• if C-mktprice>0:     [/*]
• upper=sigma  [/*]
• sigma=(sigma+lower)/2[/*]
• else:       [/*]
• lower=sigma     [/*]
• sigma=(sigma+upper)/2[/*]
• print sigma # implied volatility
  [/*]