[R-SIG-Finance] GBSVolatility in fOptions

[Joshua Ulrich]

BA,

.fGBSVolatility is the objective function.  You asked about the
root-finding algorithm.  Please see ?uniroot; among other things, it
says:

     The function uses Fortran subroutine 'zeroin' (from Netlib)
     based on algorithms given in the reference below.  They assume a
     continuous function (which then is known to have at least one root
     in the interval).

Best,
--
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com



On Tue, Nov 1, 2011 at 8:03 PM, financial engineer <fin_engr at hotmail.com> wrote:
> going through the uniroot, it seems like the crux is in .fGBSVolatility
> where the function is defined, unless I am missing the point. apologies if I
> am .... perhaps the more relevant question would have been me requesting
> reference to .fGBSVolatility....
>
>> From: josh.m.ulrich at gmail.com
>> Date: Tue, 1 Nov 2011 19:48:11 -0500
>> Subject: Re: [R-SIG-Finance] GBSVolatility in fOptions
>> To: fin_engr at hotmail.com
>> CC: r-sig-finance at r-project.org
>>
>> 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
>> >
>> >        [[alternative HTML version deleted]]
>> >
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>