Metode Newton-Raphson dan Bagi Dua untuk Menghitung Implied Volatility dari Suatu Aset (Studi Kasus: Opsi Call dan Put pada ERIC B yang Expiry Tahun 2007)

Abstract

The general problem in pricing option is determining volatility from the market price, called the implied volatility. This article presents numerical solutions to pricing option using bisection and Newton-Raphson methods. MATLAB programs are given that implement the above methods for computing the implied volatility. Calculating the implied volatility for call and put on ERIC B stock with different maturities shows that the implied volatility is time–dependent, and the volatility curve is “smile”. Volatility value obtained for Bid is always less than Ask for each strike price.