derivmkts (version 0.2.4)

implied: Black-Scholes implied volatility and price

Description

bscallimpvol and bsputimpvol compute Black-Scholes implied volatilties. The functions bscallimps and bsputimps, compute stock prices implied by a given option price, volatility and option characteristics.

Usage

bscallimpvol(s, k, r, tt, d, price)
bsputimpvol(s, k, r, tt, d, price)
bscallimps(s, k, v, r, tt, d, price)
bsputimps(s, k, v, r, tt, d, price)

Arguments

s

Stock price

k

Strike price of the option

v

Volatility of the stock, defined as the annualized standard deviation of the continuously-compounded return

r

Annual continuously-compounded risk-free interest rate

tt

Time to maturity in years

d

Dividend yield, annualized, continuously-compounded

price

Option price when computing an implied value

Value

Implied volatility (for the "impvol" functions) or implied stock price (for the "impS") functions.

Format

An object of class numeric of length 1.

Details

Returns a scalar or vector of option prices, depending on the inputs

Examples

# NOT RUN {
s=40; k=40; v=0.30; r=0.08; tt=0.25; d=0;
bscallimpvol(s, k, r, tt, d, 4)
bsputimpvol(s, k, r, tt, d, 4)
bscallimps(s, k, v, r, tt, d, 4)
bsputimps(s, k, v, r, tt, d, 4)

# }