Instead of giving nls() start=0.01, give it a named vector of parameters, start=c(theta=0.01). Bill Dunlap TIBCO Software wdunlap tibco.com
On Mon, Nov 16, 2015 at 6:19 AM, roberto marrone <robertomarr...@hotmail.it> wrote: > 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 > > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
