Functions for finding the implied Black-Scholes (lognormal) and Bachelier (normal) volatilities of a financial option. This package uses the techniques described by Peter Jäckel and his reference C++ implementations, which are fast and highly accurate. This package additionally includes forward functions that compute option prices from the volatilities.
References:
Jäckel (2015) doi:10.1002/wilm.10395.
Jäckel (2017) doi:10.1002/wilm.10581.
You can install the development version of letsberational from GitHub with:
# install.packages("devtools")
devtools::install_github("bowen4/letsberational")