GenBSImplied: Generalized Black Scholes model implied volatility

In jrvarma/jrvFinance: Basic Finance; NPV/IRR/Annuities/Bond-Pricing; Black Scholes

Description

Find implied volatility given the option price using the generalized Black Scholes model. "Generalized" means that the asset can have a continuous dividend yield.

Usage

GenBSImplied(
  s,
  X,
  r,
  price,
  t,
  div_yield,
  PutOpt = FALSE,
  toler = 1e-06,
  max.iter = 100,
  convergence = 1e-08
)

Arguments

s	the spot price of the asset (the stock price for options on stocks)
X	the exercise or strike price of the option
r	the continuously compounded rate of interest in decimal (0.10 or 10e-2 for 10%) (use equiv.rate to convert to a continuously compounded rate)
price	the price of the option
t	the maturity of the option in years
div_yield	the continuously compounded dividend yield (0.05 or 5e-2 for 5%) (use equiv.rate to convert to a continuously compounded rate)
PutOpt	TRUE for put options, FALSE for call options
toler	passed on to newton.raphson.root The implied volatility is regarded as correct if the solver is able to match the option price to within less than toler. Otherwise the function returns NA
max.iter	passed on to newton.raphson.root
convergence	passed on to newton.raphson.root

Details

GenBSImplied calls newton.raphson.root and if that fails uniroot

jrvarma/jrvFinance documentation built on Nov. 6, 2021, 5:12 p.m.