public static double CalculateImpliedVolCall(double C, double S, double k, double r, double T, double x0 = 0.5, double maxErr = 1e-6, int N = 10000)
{
Func <double, double> F = (x) =>
{
return(C - BlackScholesFormula.CalculateCallOptionPrice(x, S, k, r, T));
};
NewtonSolver s = new NewtonSolver(maxErr, N);
return(s.Solve(F, null, x0));
}
public static double CalculateImpliedVolPut(double P, double S, double k, double r, double T, double x0 = 0.5, double maxErr = 1e-6, int N = 10000)
{
double callPrice = BlackScholesFormula.GetCallFromPutPrice(S, k, r, T, P);
if (callPrice < 0)
{
throw new System.ArgumentException("Input arguments violate put/call parity.");
}
return(CalculateImpliedVolCall(callPrice, S, k, r, T, x0, maxErr, N));
}
public static void RunEurOptionPricing()
{
double[] ssviParams = new double[] { Math.Sqrt(0.1), 1, 0.7, 0.2, 0.3 };
double r = 0.025;
double S0 = 100;
double T = 1;
int N = 10000;
int M = 128;
double K = 102;
double k = Math.Log(K * Math.Exp(-r * T) / S0);
MonteCarloPricingLocalVol pricer = new MonteCarloPricingLocalVol(r, N, M, ssviParams);
double McPriceCall = pricer.CalculateEurPutOptionPrice(S0, K, T);
Ssvi SsviSurface = new Ssvi(ssviParams[0], ssviParams[1], ssviParams[2], ssviParams[3], ssviParams[4]);
double sigmaBs = Math.Sqrt(SsviSurface.OmegaSsvi(T, k) / T);
double BsPriceCall = BlackScholesFormula.CalculatePutOptionPrice(sigmaBs, 100, k, r, T);
Console.WriteLine("Call price: MC: £{0}, BS £{1}", McPriceCall, BsPriceCall);
}