[R-SIG-Finance] GBSVolatility in fOptions

[Joshua Ulrich]

You have the source code.  Take a look:

GBSVolatility = function(price, TypeFlag = c("c", "p"), S, X, Time, r, b,
tol = .Machine$double.eps, maxiter = 10000)
{
    TypeFlag = TypeFlag[1]
    volatility = uniroot(.fGBSVolatility, interval = c(-10,10), price = price,
        TypeFlag = TypeFlag, S = S, X = X, Time = Time, r = r, b = b,
        tol = tol, maxiter = maxiter)$root
   volatility
}

There you go.  Now you can read ?uniroot to see what it does.
--
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com



On Tue, Nov 1, 2011 at 6:59 PM, financial engineer <fin_engr at hotmail.com> wrote:
>
> hi,
> Can anyone shed some light on which root-finding algorithm the GBSVolatility function uses - is it the Newton method?
> thanks,
> BA
>
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>
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