derivmkts (version 0.2.5)

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, lowvol, highvol,
.tol=.Machine$double.eps^0.5)
bsputimpvol(s, k, r, tt, d, price, lowvol, highvol,
.tol=.Machine$double.eps^0.5)
bscallimps(s, k, v, r, tt, d, price, lower=0.0001, upper=1e06,
.tol=.Machine$double.eps^0.5)
bsputimps(s, k, v, r, tt, d, price, lower=0.0001, upper=1e06,
.tol=.Machine$double.eps^0.5)

Arguments

s

Stock price

k

Strike price of the option

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

lowvol

minimum implied volatility

highvol

maximum implied volatility

.tol

numerical tolerance for zero-finding function `uniroot`

v

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

lower

minimum stock price in implied price calculation

upper

maximum stock price in implied price calculation

Value

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

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)

# }