Dear all,
I have a problem using the R finction nls. I am trying to perform an
optimisation of the volatility parameter in the Black and Scholes formula. In
the function nls I wrote as a formula the call option price with the only
unknown parameter the volatility that I called theta. The code is the
following and I have recevied some errors, one is that below. In my code I use
as data a dataset of simuleted option price of length 99, and the same I did
for subset. I would like to have a code that compare my model with the
volatility as an unknown parameter with a set of gien option data. Thanks in
advance.
optim<- nls(call ~
S*pnorm((log(15/14)+(0.015+theta^2/2)*0.17)/(theta*sqrt(0.17))) -
14*exp(-0.015*0-17)*pnorm((log(15/14)+(0.015+theta^2/2)*0.17)/(theta*sqrt(0.17))
- theta * sqrt(0.17)), data=data, start= 0.01, control= nls.control(maxiter =
50, tol = 1e-05, minFactor = 1/1024, printEval = FALSE,
warnOnly = FALSE), subset= "data1")
Error in nls(call ~ S * pnorm((log(15/14) + (0.015 + theta^2/2) * 0.17)/(theta
* :
parameters without starting value in 'data': theta
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