Finding the strike price of an option from all other data
This would probably work nidely: http://www.inside-r.org/packages/cran/pracma/docs/muller
On Sun, May 17, 2015 at 12:54 AM, Kunal Shah <kunalshah305 at gmail.com> wrote:
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
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