AmericanOptionImpliedVolatility  package:RQuantLib  R Documentation

_I_m_p_l_i_e_d _V_o_l_a_t_i_l_i_t_y _c_a_l_c_u_l_a_t_i_o_n _f_o_r _A_m_e_r_i_c_a_n _O_p_t_i_o_n

_D_e_s_c_r_i_p_t_i_o_n:

     The 'AmericanOptionImpliedVolatility' function solves for the
     (unobservable) implied volatility, given an option price as well
     as the other required parameters to value an option.

_U_s_a_g_e:

     ## Default S3 method:
     AmericanOptionImpliedVolatility(type, value,
                     underlying, strike,
                     dividendYield, riskFreeRate, maturity, volatility,
                     timeSteps=150, gridPoints=151)

     ## S3 method for class 'ImpliedVolatility':
     print
     ## S3 method for class 'ImpliedVolatility':
     summary

_A_r_g_u_m_e_n_t_s:

    type: A string with one of the values 'call' or 'put'

   value: Value of the option (used only for ImpliedVolatility
          calculation)

underlying: Current price of the underlying stock

  strike: Strike price of the option

dividendYield: Continuous dividend yield (as a fraction) of the stock

riskFreeRate: Risk-free rate

maturity: Time to maturity (in fractional years)

volatility: Initial guess for the volatility of the underlying stock

timeSteps: Time steps for the Finite Differences method, default value
          is 150

gridPoints: Grid points for the Finite Differences method, default
          value is 151

_D_e_t_a_i_l_s:

     The Finite Differences method is used to value the American
     Option. Implied volatilities are then calculated numerically.

     Please see any decent Finance textbook for background reading, and
     the 'QuantLib' documentation for details on the 'QuantLib'
     implementation.

_V_a_l_u_e:

     The 'AmericanOptionImpliedVolatility' function returns an object
     of class 'ImpliedVolatility'. It contains a list with the
     following elements: 

impliedVol: The volatility implied by the given market prices

parameters: List with the option parameters used

_N_o_t_e:

     The interface might change in future release as 'QuantLib'
     stabilises its own API.

_A_u_t_h_o_r(_s):

     Dirk Eddelbuettel edd@debian.org for the R interface; the QuantLib
     Group for 'QuantLib'

_R_e_f_e_r_e_n_c_e_s:

     <URL: http://quantlib.org> for details on 'QuantLib'.

_S_e_e _A_l_s_o:

     'EuropeanOption','AmericanOption','BinaryOption'

_E_x_a_m_p_l_e_s:

     AmericanOptionImpliedVolatility(type="call", value=11.10, underlying=100,
             strike=100, dividendYield=0.01, riskFreeRate=0.03,
             maturity=0.5, volatility=0.4)

