In this model, Volatility is no longer a constant but a R.V. After pricing the option, secant method is used to calculate the implied volatility and plot the results with the option’s strike on the horizontal axis and the implied volatility on the vertical axis. The graph shows "Volatility smile" which is consistent to the real world
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In this model, Volatility is no longer a constant but a R.V. After pricing the option, secant method is used to calculate the implied volatility and plot the results with the option’s strike on the horizontal axis and the implied volatility on the vertical axis. The graph shows "Volatility smile" which is consistent to the real world
Kaizhang48/Monte-Carlo-method-to-price-European-Call-Option-with-implementation-of-GARCH-1-1-on-Volitility
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In this model, Volatility is no longer a constant but a R.V. After pricing the option, secant method is used to calculate the implied volatility and plot the results with the option’s strike on the horizontal axis and the implied volatility on the vertical axis. The graph shows "Volatility smile" which is consistent to the real world
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