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Methodologies / fx-implied-volatility

FX Implied Volatility

Bisection inversion of Garman–Kohlhagen for σ given a premium.

v1.0fx-implied-volatility

Formula

Find σ such that GK(σ) = market premium

Assumptions

Same as Garman–Kohlhagen; premium in quote per base.

Limitations

Fails if premium outside price range of search bounds.

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