| impvol {GUIDE} | R Documentation |
Calculate the Black scholes implied volatility of a European Call/Put.
Description
Function to calculate the Black scholes implied volatility of a European Call/Put.
Usage
impvol()
Details
The user inputs are as follows:
Exercise style: chosen between European/American
Spot: to be entered in numbers for e.g. 120.50
Strike: to be entered in numbers for e.g. 110.50
Risk free rate per annum: to be entered in decimals. For e.g. 0.05 for 5 per cent
Maturity in number of years: to be entered in decimals. For e.g. 0.25 for a quarter year
Dividend yield: to be entered in decimals. For e.g. 0.02 for 2 per cent
Mkt price: to be entered in numbers for e.g. 12.50
Type of Option: chosen between Call/Put
Value
The Black scholes implied volatility of a European Call/Put.
Author(s)
S Subramanian <ssubramanian@sssihl.edu.in>
References
John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.