option_descriptives | R Documentation |
Calculate descriptive variables for a nest of option quotes
option_descriptives(option_quotes, K_0, R, price, maturity)
option_quotes |
A
|
K_0 |
|
R |
|
price |
|
maturity |
|
Returns a list
with the following variables:
SD (numeric
)- the Black Merton Scholes implied volatility for the at-the money call
(using GBSVolatility
from fOptions
)
max_K (numeric
) - highest strike price for out-of-the-money calls
min_K (numeric
) - lowest strike price for out-of-the-money puts
mean_delta_K (numeric
) - average distance between strike prices
n_put (numeric
) - number of out-of-the money puts
n_call (numeric
) - number of out-of-the money calls
library(R.MFIV) nest <- option_dataset$option_quotes[[1]] option_descriptives(option_quotes = nest, K_0 = 147, R = 0.005, price = 147, maturity = 0.07)
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