Description Usage Arguments Details Value Author(s)
Compute the implied volatility of a european option using the Black-Scholes-Merton model.
1 | impliedVolatility(option, price, lower = 0, upper = 0.5, ...)
|
option |
an |
price |
market price of the option |
lower |
the lower bound of implied volatility to search |
upper |
the upper bound of implied volatility to search |
... |
any passthrough parameters to |
A bisection algorithm is used to compute the implied volatility of a European option priced with the Black-Scholes-Merton model
implied volatility estimate
Ross Bennett
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