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- def volatilityCall (S, K, T, t, q, r, C_true):
- sigma = sigmaHat(S, K, r, q, T, t)
- CVega = callOrPutVega(S, K, sigma, r, q, T, t)
- call_Value = callValue(S,K,sigma,r,q,T,t)
- tol = 1e-8
- sigmaDiff = 1
- n = 1
- nmax = 100
- while (sigmaDiff >= tol and n < nmax) :
- increment = (call_Value-C_true) / CVega
- sigma = sigma - increment
- n = n+1
- sigmaDiff = abs(increment)
- call_Value = callValue(S, K, sigma, r, q, T, t)
- CVega = callOrPutVega(S, K, sigma, r, q, T, t)
- return sigma
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