1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
|
\name{EuropeanOptionImpliedVolatility}
\alias{EuropeanOptionImpliedVolatility}
\alias{EuropeanOptionImpliedVolatility.default}
\title{Implied Volatility calculation for European Option}
\description{
The \code{EuropeanOptionImpliedVolatility} function solves for the
(unobservable) implied volatility, given an option price as well as
the other required parameters to value an option.}
\usage{
\method{EuropeanOptionImpliedVolatility}{default}(type, value,
underlying, strike, dividendYield, riskFreeRate, maturity, volatility)
}
\arguments{
\item{type}{A string with one of the values \code{call} or \code{put}}
\item{value}{Value of the option (used only for ImpliedVolatility calculation)}
\item{underlying}{Current price of the underlying stock}
\item{strike}{Strike price of the option}
\item{dividendYield}{Continuous dividend yield (as a fraction) of the stock}
\item{riskFreeRate}{Risk-free rate}
\item{maturity}{Time to maturity (in fractional years)}
\item{volatility}{Initial guess for the volatility of the underlying stock}
}
\value{
The \code{EuropeanOptionImpliedVolatility} function returns an numeric
variable with volatility implied by the given market prices and given parameters.
}
\details{
The well-known closed-form solution derived by Black, Scholes and
Merton is used for valuation. Implied volatilities are then calculated
numerically.
Please see any decent Finance textbook for background reading, and the
\code{QuantLib} documentation for details on the \code{QuantLib}
implementation.
}
\references{\url{https://www.quantlib.org/} for details on \code{QuantLib}.}
\author{Dirk Eddelbuettel \email{edd@debian.org} for the \R interface;
the QuantLib Group for \code{QuantLib}}
\note{The interface might change in future release as \code{QuantLib}
stabilises its own API.}
\seealso{\code{\link{EuropeanOption}},\code{\link{AmericanOption}},\code{\link{BinaryOption}}}
\examples{
EuropeanOptionImpliedVolatility(type="call", value=11.10, underlying=100,
strike=100, dividendYield=0.01, riskFreeRate=0.03,
maturity=0.5, volatility=0.4)
}
\keyword{misc}
|
