impliedVolatility: Implied Volatility
In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager
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.
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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 |
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 |
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
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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