AmericanOptionImpliedVolatility - QuantLib/R 中的根不在括號內的問題

我正在嘗試計算隱含波動率——我正在嘗試匹配我在雅虎財經中看到的真實數據，該數據顯示 IV 約為 27%。我在“R”中呼叫相同的參數會返回一個根未括起來的錯誤——任何人都可以幫忙嗎？

樣本：

> AmericanOptionImpliedVolatility(type="put", value=2.7, 
     underlying=55.0, strike=60, dividendYield=0.02, riskFreeRate=0.03, 
     maturity=0.02, volatility=0.2)

RESULT:
Error in americanOptionImpliedVolatilityEngine(type, value, underlying,  
: root not bracketed: f[1e-07,4] -> [2.300000e+00,1.256782e+01]

這是一個簡單的根查找器，如果你給它不可能的起始值……那麼它就會失敗。在這裡，您可以使用這些值，它似乎限制在 5 美元，而您從 2.7 美元開始：

R> AmericanOption(type="put", underlying = 55, strike = 60, 
+                 dividendYield = 0.02, riskFreeRate = 0.03, 
+                 maturity = 0.02, volatility = 0.2)
Concise summary of valuation for AmericanOption 
value  delta  gamma   vega  theta    rho divRho 
    5     NA     NA     NA     NA     NA     NA 
R> 

也許你有罷工和潛在的混淆？

R> AmericanOptionImpliedVolatility(type="put", value=2.7, 
+              underlying=60.0, strike=55.0, dividendYield=0.02, 
+              riskFreeRate=0.03, maturity=0.02, volatility=0.2)
[1] 1.48203
attr(,"class")
[1] "AmericanOptionImpliedVolatility" "ImpliedVolatility"  
R> 

引用自：https://quant.stackexchange.com/questions/22564