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Implied volatility (Newton - Raphson)

 
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karina



Joined: 06 Jun 2005
Posts: 1
Location: paris

PostPosted: Mon Jun 06, 2005 4:56 pm    Post subject: Implied volatility (Newton - Raphson) Reply with quote

Hi,
I'm trying to back out the implied volatility from the option prices using a Newton - Raphson method. The problem is that the computer blockes calculating some cells of the matrix. I mean, once the code has been executed, each cells of the matrix has to be calculated but at one moment (at one cells), the calculation stoppes. It's maybey mormall, and it's possible to extrapolate... but how can i write a macro to let the calculation continue ? Right now , when the computer is blocked on one of the cells of the matrix, i can wait the hours and it doesn't go further. I'm sure that the macro function is correct. Can anybody help me? Maybey it's possible to write macro containing a limit time of calculations for each cells to let it moove further if its blocked???
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Joined: 06 Oct 2004
Posts: 33
Location: NY

PostPosted: Wed Jun 08, 2005 10:04 pm    Post subject: Reply with quote

Do not know what you mean. Are you using VBA to do this?
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