impliedVolatility: Implied Volatility

Description Usage Arguments Details Value Author(s)

Description

Compute the implied volatility of a european option using the Black-Scholes-Merton model.

Usage

1
impliedVolatility(option, price, lower = 0, upper = 0.5, ...)

Arguments

option

an option object created with optionSpec

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 impliedVolBS

Details

A bisection algorithm is used to compute the implied volatility of a European option priced with the Black-Scholes-Merton model

Value

implied volatility estimate

Author(s)

Ross Bennett


GARPFRM documentation built on May 2, 2019, 5:45 p.m.