ChooserBS: Chooser option valuation via Black-Scholes (BS) model

Description Usage Arguments Value Author(s) References Examples

View source: R/Chooser.R

Description

Compute an exotic option that allow the holder decide the option will be a call or put option at some predetermined future date. In a simple case, both put and call option are plain vanilla option. The value of the simple chooser option is \max{C(S,K,t_1),P(S,K,t_2)}. The plain vanilla option is calculated based on the BS model.

Usage

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ChooserBS(o = OptPx(Opt(Style = "Chooser")), t1 = 9/12, t2 = 3/12)

Arguments

o

An object of class OptPx

t1

The time to maturity of the call option, measured in years.

t2

The time to maturity of the put option, measured in years.

Value

A list of class SimpleChooserBS consisting of the original OptPx object and the option pricing parameters t1, t2, as well as the computed price PxBS.

Author(s)

Le You, Department of Statistics, Rice University, spring 2015

References

Examples

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(o = ChooserBS())$PxBS

o = Opt(Style='Chooser',Right='Other',S0=50, K=50)
(o = ChooserBS(OptPx(o, r=0.06, q=0.02, vol=0.2),9/12, 3/12))$PxBS

o = Opt(Style='Chooser',Right='Other',S0=50, K=50)
(o = ChooserBS (OptPx(o,r=0.08, q=0, vol=0.25),1/2, 1/4))$PxBS

o = Opt(Style='Chooser',Right='Other',S0=100, K=50)
(o = ChooserBS(OptPx(o,r=0.08, q=0.05, vol=0.3),1/2, 1/4))$PxBS

QFRM documentation built on May 29, 2017, 10:12 p.m.