1. 

   Sam88 Member

   Probably a very simple question but when calculating the implied volatility using d1.
   The formula reduces to: [log(8.2/8) + (0.07 +1/2*(Sigma^2)] / Sigma
   My question is, how is (T-t) = 1 (which allows the reduction to the above formula)?
   
   Thanks

    

   Sam88, Aug 16, 2018

   #1
2. 

   Jake Helliwell Member

   T-t is the duration of the contract, in this case 1.

    

   Jake Helliwell, Aug 16, 2018

   #2

   Sam88 likes this.
3. 

   Sam88 Member

   Thanks!

    

   Sam88, Aug 16, 2018

   #3

Your name or email address:

Do you already have an account?

• No, create an account now.
• Yes, my password is:
• Forgot your password?

Stay logged in