Black–Scholes inputs
Definition · Level 5 · Greeks & volatility
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Spot price, strike, time to expiry, interest rate, dividends and volatility. The first five can be observed or estimated; volatility cannot, so the market price is used to solve for it.
Example
Call at 3.50 with the other five known → implied volatility about 29%.
Where Tradecraft teaches it
Level 5 · Greeks & volatility, in the lesson “Black–Scholes: the model and its blind spots”: The model’s inputs, the assumptions real markets break, and why implied vol is the market’s common language.
Related terms
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