AmericanOptionImpliedVolatility | R Documentation |
The AmericanOptionImpliedVolatility
function solves for the
(unobservable) implied volatility, given an option price as well as
the other required parameters to value an option.
## Default S3 method:
AmericanOptionImpliedVolatility(type, value,
underlying, strike,dividendYield, riskFreeRate, maturity, volatility,
timeSteps=150, gridPoints=151)
type |
A string with one of the values |
value |
Value of the option (used only for ImpliedVolatility calculation) |
underlying |
Current price of the underlying stock |
strike |
Strike price of the option |
dividendYield |
Continuous dividend yield (as a fraction) of the stock |
riskFreeRate |
Risk-free rate |
maturity |
Time to maturity (in fractional years) |
volatility |
Initial guess for the volatility of the underlying stock |
timeSteps |
Time steps for the Finite Differences method, default value is 150 |
gridPoints |
Grid points for the Finite Differences method, default value is 151 |
The Finite Differences method is used to value the American Option. Implied volatilities are then calculated numerically.
Please see any decent Finance textbook for background reading, and the
QuantLib
documentation for details on the QuantLib
implementation.
The AmericanOptionImpliedVolatility
function returns an numeric
variable with volatility implied by the given market prices and given parameters.
The interface might change in future release as QuantLib
stabilises its own API.
Dirk Eddelbuettel edd@debian.org for the R interface;
the QuantLib Group for QuantLib
https://www.quantlib.org/ for details on QuantLib
.
EuropeanOption
,AmericanOption
,BinaryOption
AmericanOptionImpliedVolatility(type="call", value=11.10, underlying=100,
strike=100, dividendYield=0.01, riskFreeRate=0.03,
maturity=0.5, volatility=0.4)
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