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All Journal Seminar Nasional Aplikasi Teknologi Informasi (SNATI) Journal of the Indonesian Mathematical Society TEKTRIKA - Jurnal Penelitian dan Pengembangan Telekomunikasi, Kendali, Komputer, Elektrik, dan Elektronika
Kuntjoro Adji Sidarto
State University of Malang
Computer Science & IT Electrical & Electronics Engineering Mathematics

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Journal : Seminar Nasional Aplikasi Teknologi Informasi (SNATI)

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On the Calculation of Implied Volatility Using A Genetic Algorithm Kuntjoro Adji Sidarto
Seminar Nasional Aplikasi Teknologi Informasi (SNATI) 2006
Publisher : Jurusan Teknik Informatika, Fakultas Teknologi Industri, Universitas Islam Indonesia

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Abstract

In the Black-Scholes options pricing formulas one parameter that cannot be directly observed is the volatility of the stock price. If actual market data of the price V are known, then the volatility can be viewed as unknown and can be calculated via the implicit equation (),,,,,0VvSTtKrσ−=.The volatility σplays the role of the unknown parameter. The volatility σdetermined in this way is called implied volatility and is the root of the equation()(),,,,,0fVvSTtKrσ σ =− = . Iterative methods such as Newton’s method, can then be used to find the root. In this work we propose an approach that uses a genetic algorithm to find the implied volatility.Keywords: option pricing, implied volatility, genetic algorithm
Co-Authors Deni Saepudin Moch Fandi Ansori Novriana Sumarti