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

Enrico Schumann es at enricoschumann.net
Sun May 17 22:14:48 CEST 2015

On Sun, 17 May 2015, Kunal Shah <kunalshah305 at gmail.com> writes:

> Hello,
> 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
> Regards

What you look for is called "root finding" or "zero
finding". See ?uniroot .

Enrico Schumann
Lucerne, Switzerland

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