Calculating implied volatility using the bisection algorithm: a note

In a recent article in this journal Jiang (2002) argues that the bisection method is unable to cope with the task of calculating implied volatility from either the Black Scholes or Merton's jump diffusion option pricing models. A re-examination of the bisection method fails to support Jiang's contention. The bisection method proves capable of correctly calculating the implied volatility in a wide range of circumstances. The circumstances in which the bisection and other root finding methods struggle are highlighted.