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为了有效估计认股权证的隐含波动率,以及有利于观测权证的市场风险,对常用的迭代算法进行改进可加快计算速度.利用认股权证的Delta、Vega和Theta值以及多元泰勒公式导出认股权证隐含波动率变化与权证价格变化关系的不等式.根据导出的这个不等式给出了具体算法.实证结果说明这一算法改进了原有的算法,从而这个算法解决了原来的随意给定一个价格后不断修正的算法.
In order to effectively estimate the implied volatility of warrants and the market risk of warrants, the commonly used iterative algorithms can be improved to speed up the calculation.Using Delta, Vega and Theta values of warrants and the multiple Taylor formula The inequality of the relationship between the change of the implied volatility of the warrants and the warrant price is given according to the derived inequality.The empirical results show that this algorithm improves the original algorithm and the algorithm solves the problem that the original random given Price constantly revised algorithm.