Implied Volatility (Brent's Method) - Quant Researcher Interview Question
Difficulty: Hard
Category: derivatives
Asked at: BofA, Bloomberg, Citadel, Two Sigma, Morgan Stanley, JPMorgan, Goldman Sachs
Topics: quantitative-finance, root-finding, options, scipy
Problem Description
Implied Volatility (IV) represents the market's expectation of future price fluctuations and is a crucial parameter in options pricing that must be derived numerically from observed market prices. By inverting the Black-Scholes pricing formula using root-finding algorithms like Brent's method, quantitative analysts can extract the volatility implied by current market premiums.
Task
Implement the function solution(market_prices, S, K, T, r, option_types) to compute the implied volatility for a s
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