In response to overwhelming demand (Assiduous Reader MW wrote me) I have decided to publish my essay Implied Volatility for FixedResets, which originally appeared as an appendix to the September, 2013, edition of PrefLetter.

The calculator (an Excel Spreadsheet) has been publicly available for some time, linked on the right-hand navigation panel under the heading “Calculators”.

**Update, 2016-2-11**: An updated and expanded 2016 edition is now available.

Assiduous Reader MW writes in and says:

I have responded:

Maybe this should be a contest. I don’t know, I’ll think about it … but maybe if I offer a year of PrefLetter for the best spreadsheet that incorporates actual Exchange Dates and Initial Dividends? Does anybody have any thoughts about this?

I’ve looked at your paper again, and walked through it slowly after reading the website about the Black and Scholes Model http://bradley.bradley.edu/~arr/bsm/pg04.html

Quite complex stuff, with lots of assumptions.

One thing I can’t figure out is Market Spread, and it seems to be quite essential in the calculations. What exactly is your definition of Market Spread?

One thing I can’t figure out is Market Spread, and it seems to be quite essential in the calculations. What exactly is your definition of Market Spread?This question is addressed in the revised and expanded 2016 edition.

Thanks