[R-sig-finance] Computing implied volatility using fOptions

Wojciech Ślusarski wojciech.slusarski at gmail.com
Thu Feb 17 20:14:30 CET 2005

I have calculated the implied volatility, for the whole history of
option quotes on WIG20 stock index on Warsaw Stock Exchange. The thing
that is wondering me is that for some particular days I get volatility
nearly 0 (e.g. 3.12236893483001e-11). Is it happening because the
option was badly priced those thays (in comparison to Black-Scholes
price) or is it a problem of the algorithm. I am usin the
GBSVolatility() function with settings:

tol <- 10^(-10)
maxiter <- 100000

Are those values good for that, or should I use some other values.

Best regards,

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