Description Usage Arguments Details Value See Also Examples

Use the grid solver to generate instrument prices via `find_present_value`

and run them
through a bisective root search method until a constant volatility matching the provided
instrument price has been found.

1 2 3 | ```
implied_jump_process_volatility(instrument_price, instrument, ...,
starting_volatility_estimate = 0.85, relative_tolerance = 0.005,
max.iter = 100, max_vola = 4)
``` |

`instrument_price` |
Target price for root finder |

`instrument` |
Instrument to search for the target price on, passed as
the sole instrument to |

`...` |
Additional arguments to be passed on to |

`starting_volatility_estimate` |
Bisection method original guess |

`relative_tolerance` |
Relative tolerance in instrument price defining the root-finder halting condition |

`max.iter` |
Maximum number of root-finder iterations allowed |

`max_vola` |
Maximum volatility to try |

Unlike `american_implied_volatility`

, this routine allows for any legal
term structures and equity-linked default intensities. For that reason, it eschews
the control variate tricks that make `american_implied_volatility`

so much faster.

Note that equity-linked default intensities can result in instrument prices that are not monotonic in volatility. This bisective root finder will find a solution but not necessarily any particular one.

A list of present values, with the same names as `instruments`

`find_present_value`

for the underlying
pricing algorithm, `implied_volatility_with_term_struct`

for European options
without equity dependence of default intensity, `american_implied_volatility`

for the same on American options

Other Equity Dependent Default Intensity: `find_present_value`

,
`fit_to_option_market_df`

,
`fit_variance_cumulation`

,
`form_present_value_grid`

Other Implied Volatilities: `american_implied_volatility`

,
`equivalent_bs_vola_to_jump`

,
`equivalent_jump_vola_to_bs`

,
`fit_variance_cumulation`

,
`implied_volatilities_with_rates_struct`

,
`implied_volatilities`

,
`implied_volatility_with_term_struct`

,
`implied_volatility`

1 2 3 | ```
implied_jump_process_volatility(
25, AmericanOption(maturity=1.1, strike=100, callput=-1),
S0=100, num_time_steps=50, relative_tolerance=1.e-3)
``` |

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