Description Usage Arguments Value References See Also Examples
View source: R/bachelier_price.R
Calculate Bachelier model option price
1 2 3 4 5 6 7 8 9 10 11 |
strike |
(vector of) strike price |
spot |
(vector of) spot price |
texp |
(vector of) time to expiry |
sigma |
(vector of) volatility |
intr |
interest rate (domestic interest rate) |
divr |
dividend/convenience yield (foreign interest rate) |
cp |
call/put sign. |
forward |
forward price. If given, |
df |
discount factor. If given, |
option price
Choi, J., Kim, K., & Kwak, M. (2009). Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion. Applied Mathematical Finance, 16(3), 261-268. doi: 10.1080/13504860802583436
1 2 3 4 5 6 | spot <- 100
strike <- seq(80,125,5)
texp <- 1.2
sigma <- 20
intr <- 0.05
FER::BachelierPrice(strike, spot, texp, sigma, intr=intr)
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