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oRGW_IV( ) - Roll Geske Whaley Implied Volatility Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oRGW_IV(OptionValue, ValueDate, MaturityDate, Spot, Exercise, RiskFree, DividendDate, DividendAmount)

Uses the Newton-Raphson iteration procedure to calculate the implied volatility value that equates the given market price of the option with the Roll Geske Whaley model price of the option. Returns the implied volatility only.

 

 

Option Types

American call options on Stocks that pay a single discrete dividend.

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

OptionValue

 

Current market price of the option.

 

Double

 

Option Value > 0

ValueDate

Valuation date of the option.

 

Date

 

ValDate < MatDate

MaturityDate

Maturity date of the option.

 

Date

 

MatDate > ValDate

Spot

 

Current market price of the underlying asset.

 

Double

 

Spot > 0

Exercise

 

Exercise price of the option.

 

Double

 

Exercise >= 0

RiskFree

 

Risk free interest rate, entered as either a single rate (act/365) or as a user defined zero curve object.

 

Double or Curve

 

RiskFree >= 0%

DividendDate

 

The date the dividend is paid.

 

Date

 

 

DividendAmount

 

The amount of the dividend.

 

Double

 

 

See Also

Parameter Types

oRGW( ) - Roll Geske Whaley Function

oRGW_IS( ) - Roll Geske Whaley Implied Spot Function

oRGW_IX( ) - Roll Geske Whaley Implied Strike Function

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