[R-SIG-Finance] Finding the strike price of an option from all other data

Kunal Shah kunalshah305 at gmail.com
Sun May 17 06:54:59 CEST 2015


If I have all the other data and if I need to find the strike price of an
option, some numerical technique needs to be applied

Can someone guide me how to do this?
One possible solution is
1: Initialise with some random strike
2: Use Black Scholes and find the price
3:Increase/Decrease the strike accordingly and do steps 1 and 2 until you
reach at the answer

I think some numerical techniques must be there to dot his


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