Displaying 1 result from an estimated 1 matches for "n3747509".
Did you mean:
747509
2011 Aug 16
2
Calibrating the risk free interest rate using nlminb
Dear R-users
I am trying to find a value for the risk free rate minimizing the difference
between a BS call value with impl. volatilities minus the market price of a
call (assuming this is just the average bid ask price)
Here is my data:
http://r.789695.n4.nabble.com/file/n3747509/S%26P_500_calls%2C_jan-jun_2010.csv
S%26P_500_calls%2C_jan-jun_2010.csv
S0 <- 1136.03
q <- 0.02145608
S0 <- spot[10,6]
S0
strike <- marketdata[1:460,9]
T <- marketdata[1:460,17]/365 #Notice the T is measured in years now
implvol <- marketdata[1:460,12]
ask <- marketdata[1:46...