Implied volatilities of european-exercise options under Black-Scholes or a jump-process extension

Description

Find default-free volatilities based on known interest rates and hazard rates, using a given option price.

Usage

1
2
3
4
implied_volatilities(option_price, callput, S0, K, r, time,
  const_default_intensity = 0, divrate = 0, borrow_cost = 0,
  dividends = NULL, relative_tolerance = 1e-06, max.iter = 100,
  max_vola = 4)

Arguments

option_price

Present option values (may be a vector)

callput

1 for calls, -1 for puts (may be a vector)

S0

initial underlying price (may be a vector)

K

strike (may be a vector)

r

risk-free interest rate (may be a vector)

time

Time from 0 until expiration (may be a vector)

const_default_intensity

hazard rate of underlying default (may be a vector)

divrate

A continuous rate for dividends and other cashflows such as foreign interest rates (may be a vector)

borrow_cost

A continuous rate for stock borrow costs (may be a vector)

dividends

A data.frame with columns time, fixed, and proportional. Dividend size at the given time is then expected to be equal to fixed + proportional * S / S0. Fixed dividends will be converted to proprtional for purposes of this algorithm.

relative_tolerance

Relative tolerance in option price to achieve before halting the search

max.iter

Number of iterations to try before abandoning the search

max_vola

Maximum volatility to try in the search

...

Arguments passed to implied_volatility

Value

Scalar volatilities

See Also

Other Equity Independent Default Intensity: american_implied_volatility, american, black_scholes_on_term_structures, blackscholes, equivalent_bs_vola_to_jump, equivalent_jump_vola_to_bs, implied_volatilities_with_rates_struct, implied_volatility_with_term_struct, implied_volatility

Other European Options: black_scholes_on_term_structures, blackscholes, implied_volatilities_with_rates_struct, implied_volatility_with_term_struct, implied_volatility

Other Implied Volatilities: american_implied_volatility, equivalent_bs_vola_to_jump, equivalent_jump_vola_to_bs, fit_variance_cumulation, implied_jump_process_volatility, implied_volatilities_with_rates_struct, implied_volatility_with_term_struct, implied_volatility

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.