[R-SIG-Finance] fOptions American options Implied Volatility
massimo.salese at gmail.com
Tue May 17 18:02:01 CEST 2011
Thanks much David ,
the problem is that RMetrics/fOptions has only this valuation code:
RollGeskeWhaleyOption Roll, Geske and Whaley Approximation,
BAWAmericanApproxOption Barone-Adesi and Whaley Approximation,
BSAmericanApproxOption Bjerksund and Stensland Approximation.
Only the first one take care of dividends !
What I'm trying to do is to valuate the iv smile in the same way as Sheldon
Natenberg or Robert G. Tompkins does in their books, build an iv function
and use that to run a what-if scenario on my positions.
So I'll tray to use RollGeskeWhaleyOption approx in the same way as done for
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