Description Usage Arguments Value Author(s) References Examples
Implied Volatility for a European Call Option
1 | EuroCallVol(Stock, Exercise, Time, Interest, Yield, Call_price)
|
Stock |
S0, the initial stock price |
Exercise |
K, the strike price |
Time |
T, the time to maturity in fractional years |
Interest |
r, the risk-free rate of return |
Yield |
q, the dividend yield |
Call_price |
the price of the call option being valued |
The Implied Volatility of the call option
George Fisher GeorgeRFisher@gmail.com
Hull, 7th edition ch 13 p296-297
1 2 3 4 5 6 7 8 9 10 | # Hull, 7th edition ch 13 p296
Stock <- 21 # S_0
Exercise <- 20 # K
Time <- 0.25 # T
Interest <- 0.10 # r
Yield <- 0 # q
Call_price <- 1.875
callvol <- EuroCallVol(Stock, Exercise, Time, Interest, Yield, Call_price)
writeLines(paste0("Implied Call Volatility: ", round(callvol*100, 1), "% per annum"))
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.