认股权证隐含波动率迭代算法的改进

为了有效估计认股权证的隐含波动率,以及有利于观测权证的市场风险,对常用的迭代算法进行改进可加快计算速度.利用认股权证的Delta、Vega和Theta值以及多元泰勒公式导出认股权证隐含波动率变化与权证价格变化关系的不等式.根据导出的这个不等式给出了具体算法.实证结果说明这一算法改进了原有的算法,从而这个算法解决了原来的随意给定一个价格后不断修正的算法.

Improvement for the Iterative Algorithm of Implied Volatility of Warrant

In order to estimate effectively the implied volatility of warrant and help to observe the risk of stock market,the usual iterative algorithm for warrant is improved to step up calculation speed.By the Delta,Vega and Theta about warrant and the formula of Taylor,the inequality of relation between implied volatility change and warrant price change is derived.By this inequality,the algorithm oif estimating implied volatility for warrant is presented.The empirical results show that this algorithm improves the old algorithm.Tlhus the improved algorithm solves the old algorithm corrected step by step after given at will some values.