This calculator finds the implied volatility of an option with a market price using the Black-Scholes formula and the Newton-Raphson Method.
For further reading on the Black-Scholes Formula, go to the articles:
For further reading on the Black-Scholes Option Pricing model and how to use it in R, Python, and C++, go to the articles:
- Black-Scholes Option Pricing in R
- Black-Scholes Option Pricing in Python
- Black-Scholes Option Pricing in C++
- How to Derive Options Greeks from the Black-Scholes Formula
For a complete, production-ready implementation of these concepts in modern C++, check out our options pricing calculator repository on The Research Scientist Pod’s GitHub. The project provides a GUI interface and supports multiple pricing methods, including Black-Scholes, Monte Carlo, and binomial tree approaches. We welcome contributions, so feel free to star the repository, submit pull requests, or follow us for more quantitative finance tools!
Suf is a senior advisor in data science with deep expertise in Natural Language Processing, Complex Networks, and Anomaly Detection. Formerly a postdoctoral research fellow, he applied advanced physics techniques to tackle real-world, data-heavy industry challenges. Before that, he was a particle physicist at the ATLAS Experiment of the Large Hadron Collider. Now, he’s focused on bringing more fun and curiosity to the world of science and research online.