Black-Scholes Implied Volatility
quantlib-pricing
Black-Scholes Implied Volatility
Calculate implied volatility from a market option price using the Black-Scholes model. Implied volatility is the market’s expectation of future volatility, backed out from the option price.
Use Cases:
- Extract market’s volatility expectations from option prices
- Build volatility surfaces and smiles
- Compare historical volatility with implied volatility
- Identify arbitrage opportunities when implied vol deviates significantly
Note: Returns an error if the market price is outside arbitrage-free bounds or if convergence fails.
Tier: Standard (2 credits/request) [Tier: PRO, Credits: 5]
POST
Black-Scholes Implied Volatility
Authorizations
API key for authentication. Get your key at https://api.fincept.in/auth/register
Body
application/json
Market price of the option
Example:
8.5
Current price of the underlying asset
Example:
100
Strike price of the option
Example:
105
Risk-free interest rate (annualized, decimal format)
Example:
0.05
Time to expiration in years
Example:
1
Continuous dividend yield (annualized, decimal format)
Example:
0.02
Type of option
Available options:
call, put Example:
"call"