GenBSImplied {jrvFinance} | R Documentation |
Generalized Black Scholes model implied volatility
Description
Find implied volatility given the option price using the generalized Black Scholes model. "Generalized" means that the asset can have a continuous dividend yield.
Usage
GenBSImplied(
s,
X,
r,
price,
t,
div_yield,
PutOpt = FALSE,
toler = 1e-06,
max.iter = 100,
convergence = 1e-08
)
Arguments
s |
the spot price of the asset (the stock price for options on stocks) |
X |
the exercise or strike price of the option |
r |
the continuously compounded rate of interest in decimal (0.10 or 10e-2 for 10%)
(use |
price |
the price of the option |
t |
the maturity of the option in years |
div_yield |
the continuously compounded dividend yield (0.05 or 5e-2 for 5%)
(use |
PutOpt |
|
toler |
passed on to |
max.iter |
passed on to |
convergence |
passed on to |
Details
GenBSImplied
calls newton.raphson.root
and
if that fails uniroot