ir_error: Signed IR error
In shill1729/pricing: Option pricing engines for (jump)-diffusions
Description
Usage
Arguments
Value
View source: R/impliedParmeters.R
Description
Signed IR error
Usage
1
Arguments
r
the risk-free rate guess
strike
the strike price of the option to backout parameters for
maturity
the maturity of the option, in trading years
spot
the spot price of the underlying
price
the market price of the option contract
volat
the volatility level (annualized)
type
the type of option: put or call
N
number of time sub-intervals
M
number of space sub-intervals
Value
numeric
shill1729/pricing documentation built on Jan. 9, 2022, 12:56 a.m.
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Description Usage Arguments Value
View source: R/impliedParmeters.R
Description
Signed IR error
Usage
1 |
Arguments
r |
the risk-free rate guess |
strike |
the strike price of the option to backout parameters for |
maturity |
the maturity of the option, in trading years |
spot |
the spot price of the underlying |
price |
the market price of the option contract |
volat |
the volatility level (annualized) |
type |
the type of option: put or call |
N |
number of time sub-intervals |
M |
number of space sub-intervals |
Value
numeric
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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