python绘制隐含波动率曲面_用Python计算分析实现波动率和隐含波动率

thanks for your reply. I have a try, but it will spend much time using my code as follow:

sigma=0.01

C=0 ### C denote price using BSM model

upper=0.008

lower=0.006

[S,r,q,T,K,p]=data1.loc[0,[‘S(t)’,’r’,’q’,’DTM’,’X’,’Option Price’]]

tmp1=S*(math.exp((-1)*q*T))

tmp2=S/K

tmp3=(np.log(tmp2)+T*(r-q+(0.5*(sigma**2))))/(sigma*np.sqrt(T))

tmp4=tmp3-np.sqrt(T)*sigma

tmp5=norm.cdf(tmp3,0,1)

tmp6=norm.cdf(tmp4,0,1)

while abs(C-p)>1e-6:

C=tmp1*tmp5-K*math.exp((-1)*r*T)*tmp6

if C-p>0:

upper=sigma

sigma=(sigma+lower)/2

else:

lower=sigma

sigma=(sigma+upper)/2

print(sigma)

so, do you have better way to solve the problem? thanks!!