Library: | finance |
See also: | american asset bs1 european volatility volsurf volsurfplot |
Quantlet: | ImplVola | |
Description: | determines the implied volatilities assuming the Black Scholes model for a vector of European style options; uses either the method of bisections or the default Newton-Raphson method. |
Usage: | y = ImplVola(x {, IVmethod}) | |
Input: | ||
x | n x 6 data matrix. The first column contains the underlying asset prices, the second the strikes, the third the interest rates, the fourth maturities [years], the fifth the option prices and the sixth contains the types of the option (1 means a call or 0 a put). | |
IVmethod | string, if IVmethod = "bisect" then bisections are used, otherwise the Newton-Raphson method. | |
Output: | ||
y | n x 1 vector containing the implied volatilities for the given data. |
library("finance") assetprice = #(5290.36, 5290.36,5290.36,5290.36) strike = #(5350,5500,3700,3800) irate = #(0.03294,0.03294,0.03294,0.03294) maturity = #(0.13425,0.13425,0.13425,0.13425) optionprice = #(221.6,154.2,4.9,6.4) type = #(1,1,0,0) x=assetprice~strike~irate~maturity~optionprice~type ivola=ImplVola(x) ivola
Contents of ivola [1,] 0.30842 [2,] 0.2993 [3,] 0.47033 [4,] 0.45812