EuropeanOptionImpliedVolatility(RQuantLib)
EuropeanOptionImpliedVolatility()所属R语言包：RQuantLib
Implied Volatility calculation for European Option
欧式期权的隐含波动率计算
译者：生物统计家园网 机器人LoveR
描述----------Description----------
The EuropeanOptionImpliedVolatility function solves for the (unobservable) implied volatility, given an option price as well as
EuropeanOptionImpliedVolatility函数解决了（不可观察的）隐含波动率，期权价格以及
用法----------Usage----------
## Default S3 method:[默认方法]
EuropeanOptionImpliedVolatility(type, value,
underlying, strike, dividendYield, riskFreeRate, maturity, volatility)
参数----------Arguments----------
参数：type
A string with one of the values call or put
一个字符串一个的值call或put的
参数：value
Value of the option (used only for ImpliedVolatility calculation)
选项的值（仅用于ImpliedVolatility计算）
参数：underlying
Current price of the underlying stock
标的股票的当前价格
参数：strike
Strike price of the option
购股权的行使价的
参数：dividendYield
Continuous dividend yield (as a fraction) of the stock
连续的股息收益率（一小部分）的股票
参数：riskFreeRate
Risk-free rate
无风险利率
参数：maturity
Time to maturity (in fractional years)
时间到成熟（在分数几年）
参数：volatility
Initial guess for the volatility of the underlying stock
初始猜测标的股票的波动性
Details
详细信息----------Details----------
The well-known closed-form solution derived by Black, Scholes and Merton is used for valuation. Implied volatilities are then calculated numerically.
著名的黑色，Scholes和Merton得到封闭形式的解决方案进行估值。隐含波动率的数值计算。
Please see any decent Finance textbook for background reading, and the QuantLib documentation for details on the QuantLib implementation.
请参阅任何像样的金融教科书的背景阅读，QuantLibQuantLib实施的细节上的文件。
值----------Value----------
The EuropeanOptionImpliedVolatility function returns an object of class ImpliedVolatility. It contains a list with the following elements: <table summary="R valueblock"> <tr valign="top"><td>impliedVol</td> <td> The volatility implied by the given market prices</td></tr> <tr valign="top"><td>parameters</td> <td> List with the option parameters used</td></tr>
EuropeanOptionImpliedVolatility函数返回一个对象类ImpliedVolatility。它包含一个列表包含下列元素：<table summary="R valueblock"> <tr valign="top"> <TD>impliedVol</ TD> <td>在给定的市场价格所隐含的波动< / TD> </ TR> <tr valign="top"> <TD> parameters </ TD> <TD>使用的选项参数列表</ TD> </ TR>
</table>
</ TABLE>
注意----------Note----------
The interface might change in future release as QuantLib
该接口在将来的版本中可能会改变QuantLib
（作者）----------Author(s)----------
Dirk Eddelbuettel <a href="mailto:edd@debian.org">edd@debian.org</a> for the <font face="Courier New,Courier" color="#666666"><b>R</b></font> interface;
the QuantLib Group for <code>QuantLib</code>
参考文献----------References----------
<h3>See Also</h3>
实例----------Examples----------
EuropeanOptionImpliedVolatility(type="call", value=11.10, underlying=100,
strike=100, dividendYield=0.01, riskFreeRate=0.03,
maturity=0.5, volatility=0.4)
转载请注明:出自 生物统计家园网(http://www.biostatistic.net)。
注：
注1：为了方便大家学习，本文档为生物统计家园网机器人LoveR翻译而成，仅供个人R语言学习参考使用，生物统计家园保留版权。
注2：由于是机器人自动翻译，难免有不准确之处，使用时仔细对照中、英文内容进行反复理解，可以帮助R语言的学习。
注3：如遇到不准确之处，请在本贴的后面进行回帖，我们会逐渐进行修订。
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发表于 2012-9-28 20:33:08
