Breakdown in Calculation of Implied Volatility
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Document ID: 2005-685 (previously 2005/004)
Published on: 1st June 2005
Author: Steven Morrison
In the validation calculations within the ESG, the equity implied volatility may be estimated as “Infinity” in certain situations. In the Excel validation spreadsheets, #VALUE! would appear in these cases. This problem occurs whenever the option price is estimated as being greater than 1.
