black_scholes_iv: Back out Black-Scholes implied volatility

In shill1729/OptionPricer: An option pricer for European and American vanilla stock options

Description

Root-finding scheme to back out Black-Scholes implied volatility for a given market price.

Usage

black_scholes_iv(
  fee,
  spot,
  strike,
  maturity,
  rate,
  div,
  what,
  style,
  N,
  M,
  lb = 0.001,
  ub = 10
)

Arguments

fee	the market price
spot	the spot price of the underlying
strike	the strike price of the option
maturity	the maturity in trading years of the option contract
rate	the discounting rate
div	the dividend yield rate
what	what type of option to price: "put" or "call"
style	optionality style: american or european
N	time-resolution
M	space-resolution
lb	lb for interval to search for root in IV
ub	ub for interval to search for root in IV

Value

numeric

shill1729/OptionPricer documentation built on June 11, 2020, 12:18 a.m.