[R] Loop and Solver with Black/Scholes-Formula
bstudent
marc.ruetten at gmx.de
Sat Apr 23 20:57:49 CEST 2011
Hello,
for my diploma thesis I need to program a solver for Merton´s respectively
Black´s and Scholes´ Option pricing formula, which should be achieved for
several dates.
What I want to do is to estimate the value of a firm´s assets "vA" (x[2]
denotes vA) and the option-implied volatility of firm´s assets "sigA" (x[1]
denotes sigA) by solving it simultaneous using the Black and Scholes
formulas. This solution should be computed for several dates, at which the
data input changes with the next date (it should be computed row by row of
the data input matrix).
What I did so far is to program a for-loop in which I wrote the solver:
># Dataset:
>
> head(citin)
Q vE sigE D R
1 1 39.81095 0.08957312 51.64004 0.00930000
2 2 39.76028 0.09127646 54.98504 0.01072000
3 3 37.00382 0.08177820 60.29025 0.01489545
4 4 35.17477 0.09221447 60.41061 0.02017879
5 5 36.54418 0.07852334 55.00648 0.02553438
6 6 37.20026 0.07949604 62.59768 0.02908462
>
>
>
># Loop with Solver for 6 dates:
>
> citinbs <- for (i in 1:6) {
+
+ BS <- function(x) {
+
+ vE <- citin[i,2]
+ sigE <- citin[i,3]
+ D <- citin[i,4]
+ R <- citin[i,5]
+
+ T = 1
+
+ f <- rep(NA, length(x))
+
+ f[1] <- (x[1] * pnorm(log (x[1]/D) + (R + ( (x[1]^2) / 2) ) * T ) / ( x[2]
* sqrt(T)) - exp(-R*T) * D * pnorm(log (x[1]/D) + (R - ( (x[1]^2) / 2) ) * T
) / ( x[2] * sqrt(T))) - vE
+
+ f[2] <- ((x[1] * exp(-T) * pnorm(log (x[1]/D) + (R + ( (x[1]^2) / 2) ) * T
) / ( x[2] * sqrt(T)) * x[2]) / vE) - sigE
+
+ f
+ }
+
+ p0 <- c( vE + D, sigE * (vE / (vE + D)) )
+
+ ans <- dfsane(par=p0, fn=BS)
+
+ print(as.matrix(ans$par))
+
+ }
The problem is, that the results I get aren´t really plausible. The next
thing is, that I need the relevant Values of Output (ans$par, which includes
two values - x[1]=vA and x[2]=sigA - per date) as matrix. This Matrix should
look like this:
vA sigA
a x
b y
c z
. .
. .
. .
The entry I wrote ("print(as.matrix(ans$par))") doesn´t achieve that.
I hope you understood what I´m trying to do. I´m an absolute beginner in
programming in R, so these are some of my first steps. Please be patient ;)
Also I hope my English isn´t to bad.
Thank you very much for helping me out!!!
Kind regards,
bstudent.
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