Description Usage Arguments Examples
Simple function using Rcpp
1 | getImpliedVolatility(S,V,K,T,r,q,sigma,lmbda,meanV,v0,rho,otype,x_abs_err,max_iter,N)
|
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 |
1 2 3 4 | ## Not run:
getImpliedVolatility(S,V,K,T,r,q,sigma,lmbda,meanV,v0,rho,otype,x_abs_err,max_iter,N)
## End(Not run)
|
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