| AmericanOptionImpliedVolatility {RQuantLib} | R Documentation |
The AmericanOptionImpliedVolatility function solves for the
(unobservable) implied volatility, given an option price as well as
the other required parameters to value an option.
## Default S3 method:
AmericanOptionImpliedVolatility(type, value,
underlying, strike,
dividendYield, riskFreeRate, maturity, volatility,
timeSteps=150, gridPoints=151)
## S3 method for class 'ImpliedVolatility':
print
## S3 method for class 'ImpliedVolatility':
summary
type |
A string with one of the values call or put |
value |
Value of the option (used only for ImpliedVolatility calculation) |
underlying |
Current price of the underlying stock |
strike |
Strike price of the option |
dividendYield |
Continuous dividend yield (as a fraction) of the stock |
riskFreeRate |
Risk-free rate |
maturity |
Time to maturity (in fractional years) |
volatility |
Initial guess for the volatility of the underlying stock |
timeSteps |
Time steps for the Finite Differences method, default value is 150 |
gridPoints |
Grid points for the Finite Differences method, default value is 151 |
The Finite Differences method is used to value the American Option. Implied volatilities are then calculated numerically.
Please see any decent Finance textbook for background reading, and the
QuantLib documentation for details on the QuantLib
implementation.
The AmericanOptionImpliedVolatility function returns an object
of class ImpliedVolatility. It contains a list with the
following elements:
impliedVol |
The volatility implied by the given market prices |
parameters |
List with the option parameters used |
The interface might change in future release as QuantLib
stabilises its own API.
Dirk Eddelbuettel edd@debian.org for the R interface;
the QuantLib Group for QuantLib
http://quantlib.org for details on QuantLib.
EuropeanOption,AmericanOption,BinaryOption
AmericanOptionImpliedVolatility(type="call", value=11.10, underlying=100,
strike=100, dividendYield=0.01, riskFreeRate=0.03,
maturity=0.5, volatility=0.4)