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

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

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.