Calculating Implied Volatility with Python for Options Traders

Algebraic Continuation · Beginner ·📐 ML Fundamentals ·1y ago

About this lesson

In this video I show you how to compute the implied volatility using market information for the Black Scholes option pricing formula. We use python, automatic differentiation, and the Newton method for optimization. Black Scholes Model Options Options Pricing Volatility Implied Volatility Greeks Delta Gamma Vega Rho Theta Autodiff Python GPU Jax Machine Learning AI Artificial Intelligence

Original Description

In this video I show you how to compute the implied volatility using market information for the Black Scholes option pricing formula. We use python, automatic differentiation, and the Newton method for optimization. Black Scholes Model Options Options Pricing Volatility Implied Volatility Greeks Delta Gamma Vega Rho Theta Autodiff Python GPU Jax Machine Learning AI Artificial Intelligence

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