Skip to contents

Calculate Bachelier model implied volatility

Source: R/bachelier_impvol.R
BachelierImpvol.Rd

Calculate Bachelier model implied volatility

Usage

BachelierImpvol(
  price,
  strike = forward,
  spot,
  texp = 1,
  intr = 0,
  divr = 0,
  cp = 1L,
  forward = spot * exp(-divr * texp)/df,
  df = exp(-intr * texp)
)

Arguments

price

(vector of) option price

strike

(vector of) strike price

spot

(vector of) spot price

texp

(vector of) time to expiry

intr

interest rate (domestic interest rate)

divr

dividend/convenience yield (foreign interest rate)

cp

call/put sign. 1 for call, -1 for put.

forward

forward price. If given, forward overrides spot

df

discount factor. If given, df overrides intr

Value

Bachelier implied volatility

References

Choi, J., Kim, K., & Kwak, M. (2009). Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion. Applied Mathematical Finance, 16(3), 261-268. doi:10.1080/13504860802583436

See also

BachelierPrice

Examples

spot <- 100
strike <- 100
texp <- 1.2
sigma <- 20
intr <- 0.05
price <- 20
FER::BachelierImpvol(price, strike, spot, texp, intr=intr)
#> [1] 41.13295