In this chapter, you will learn about volatility and using numerical methods in F# to explore the properties of options. We'll solve for the intrinsic volatility, called implied volatility, in the Black-Scholes model using the code from the previous chapter and extending it with numerical methods covered in Chapter 3, Financial Mathematics and Numerical Analysis.
In this chapter you will learn:
Actual volatility and implied volatility
Using F# to calculate actual volatility
Solving for implied volatility in Black-Scholes
Using numerical methods for options
Delta hedging
Briefly about volatility arbitrage