# Nsvh1Choi2019: Calculate the option price under the NSVh model with lambda=1... In FER: Financial Engineering in R

## Description

Calculate the option price under the NSVh model with lambda=1 (Choi et al. 2019)

## Usage

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13``` ```Nsvh1Choi2019( strike = forward, spot, texp = 1, sigma, vov = 0, rho = 0, intr = 0, divr = 0, cp = 1L, forward = spot * exp(-divr * texp)/df, df = exp(-intr * texp) ) ```

## Arguments

 `strike` (vector of) strike price `spot` (vector of) spot price `texp` (vector of) time to expiry `sigma` (vector of) volatility `vov` (vector of) vol-of-vol `rho` (vector of) correlation `intr` interest rate `divr` dividend rate `cp` call/put sign. `1` (default) for call price, `-1` for put price, `NULL` for Bachelier volatility `forward` forward price. If given, `forward` overrides `spot` `df` discount factor. If given, `df` overrides `intr`

## Value

BS volatility or option price based on `cp`

## References

Choi, J., Liu, C., & Seo, B. K. (2019). Hyperbolic normal stochastic volatility model. Journal of Futures Markets, 39(2), 186–204. doi: 10.1002/fut.21967

## Examples

 ```1 2 3 4 5 6 7 8 9``` ```spot <- 100 strike <- seq(80,125,5) texp <- 1.2 sigma <- 20 vov <- 0.2 rho <- -0.5 strike <- seq(0.1, 2, 0.1) FER::Nsvh1Choi2019(strike, spot, texp, sigma, vov, rho) ```

FER documentation built on March 5, 2021, 5:06 p.m.