meansq_iv_error_kou: Mean square error between market and Kou-model IVs

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

Description

Compute the mean-square error between model and market implied volatilities

Usage

meansq_iv_error_kou(
  v,
  K,
  market_iv,
  spot,
  maturity,
  rate,
  div,
  ku,
  kd,
  what,
  style,
  N,
  M,
  lb,
  ub
)

Arguments

v	vector of parameters: volat, lambda, prob, alpha, beta
K	vector of strikes
market_iv	vector of fees
spot	the underlying spot price
maturity	the contract maturity
rate	the risk-neutral rate
div	the dividend yield
ku	the upward jump displacement
kd	the downward jump displacement
what	the option type
style	the optionality style
N	time-resolution
M	space-resolution
lb	lower-bound for IV root-finder
ub	upper-bound for IV root-finder

Value

numeric

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