5. (Nongeometric Brownian motion) Write a MATLAB program to observe the implied volatility smile for the option
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5. (Nongeometric Brownian motion) Write a MATLAB program to observe the implied volatility smile for the option based on the stock price following the dynamics of nongeometric Brownian motion. Use the following data for the calculation.
Sð0Þ 5 100;K 5 100; T 5 0:5; r 5 8%; σ 5 30%; α 5 0:8 Plot the graph of the estimated implied volatility against the moneyness of the option.
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Related Book For 
Principles Of Financial Engineering
ISBN: 9780123869685
3rd Edition
Authors: Robert Kosowski, Salih N. Neftci
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