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Mar 23rd, 2017
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  1. def volatilityCall (S, K, T, t, q, r, C_true):
  2.  
  3. sigma = sigmaHat(S, K, r, q, T, t)
  4. CVega = callOrPutVega(S, K, sigma, r, q, T, t)
  5.  
  6. call_Value = callValue(S,K,sigma,r,q,T,t)
  7.  
  8. tol = 1e-8
  9. sigmaDiff = 1
  10. n = 1
  11. nmax = 100
  12.  
  13. while (sigmaDiff >= tol and n < nmax) :
  14. increment = (call_Value-C_true) / CVega
  15. sigma = sigma - increment
  16. n = n+1
  17. sigmaDiff = abs(increment)
  18.  
  19. call_Value = callValue(S, K, sigma, r, q, T, t)
  20. CVega = callOrPutVega(S, K, sigma, r, q, T, t)
  21.  
  22. return sigma
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