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_fprime is not correct when computing implied volatility #29
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imo, to compute iv using newton method, fprime is just vega. So according to the wikipedia, it should have exp(-q * t) |
Which one is right? |
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return self.S*sqrt(self.T)*norm.pdf(d1)*exp(-self.r*self.T)
fprime is not correct, it should be
return self.S*sqrt(self.T)*norm.pdf(d1)*exp(-self.q*self.T)
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