getImpliedVolatility: Approximate the implied volatility of a derivative using the...

Description Usage Arguments Examples

View source: R/RcppExports.R

Description

Simple function using Rcpp

Usage

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getImpliedVolatility(S,V,K,T,r,q,sigma,lmbda,meanV,v0,rho,otype,x_abs_err,max_iter,N)

Arguments

S

Underlying price

V

Option price

K

Strike price of the option

T

The time to maturity of the option

r

The risk-free rate

q

The annualized divident yield

sigma

The volatility of the underlying

lmbda

The mean reversion rate of the volatility

meanV

Equilibrium volatility level

v0

The volatility of the volalility

rho

The correlation between the Brownian motions

otype

The option type: (P)ut or (C)all

x_abs_err

The target tolerance on the absolute error

max_iter

Max iterations for the Newton-Rhapson method

N

The number of Fourier-Cosine expansion terms

Examples

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  ## Not run: 
 getImpliedVolatility(S,V,K,T,r,q,sigma,lmbda,meanV,v0,rho,otype,x_abs_err,max_iter,N)
  
## End(Not run)

mfrdixon/MLEMVD documentation built on May 1, 2018, 11:38 p.m.