Share New Research 
Hi,
What's the acceptable tolerance for validating Black-Scholes-Merton using Implied Volatility used for the model v Implied Volatility calculated from the model pricing?
QUANTCONNECT COMMUNITY
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
QuantConnect™ 2024. All Rights Reserved
Daniel Chen
Hi Sam,
Thank you for your question. Just to make sure I understand the wording you used, is implied volatility used for the model the assumed implied volatility? Sorry, I am not clear on this term you mentioned. If this is the case, I think there is no general tolerance value on the calculation of implied volatility for all options.
In QuantConnect, we provide RelativeStandardDeviationVolatilityModel and NullVolatilityModel for option backtesting. You might find the documentation here helpful.
Hope it helps!
QuantMaster
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!