EuroCallVol: Implied Volatility for a European Call Option

In grfiv/ustreasuries: Treasury Data Download, Fixed-Income Models and Derivative Analyses

Description

Implied Volatility for a European Call Option

Usage

EuroCallVol(Stock, Exercise, Time, Interest, Yield, Call_price)

Arguments

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

Value

The Implied Volatility of the call option

Author(s)

George Fisher [e-mail]

References

Hull, 7th edition ch 13 p296-297

Examples

# 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"))

grfiv/ustreasuries documentation built on May 17, 2019, 8:36 a.m.