ForwardStartBS: ForwardStart option valuation via Black-Scholes (BS) model
In QFRM: Pricing of Vanilla and Exotic Option Contracts
Description
Usage
Arguments
Details
Value
Author(s)
References
Examples
Description
Compute the price of Forward Start options using BSM.
A forward start option is a standard European option whose strike price is set equal to current asset price at some prespecified future date.
Employee incentive options are basically forward start option
Usage
1
ForwardStartBS(o = OptPx(Opt(Style = "ForwardStart")), tts = 0.1)
Arguments
o
an OptPx object including basic information of an option
tts
Time to start of the option (in years)
Details
A standard European option starts at a future time tts.
Value
The original user-supplied OptPX object
with price field PxBS and any other provided user-supplied parameters.
Author(s)
Tongyue Luo, Department of Statistics, Rice University, Spring 2015
References
Hull, John C., Options, Futures and Other Derivatives, 9ed, 2014. Prentice Hall.
ISBN 978-0-13-345631-8.http://www-2.rotman.utoronto.ca/~hull/ofod/index.html.
p.602
Examples
1
2
3
4
(o = ForwardStartBS())$PxBS
o = OptPx(Opt(Style='ForwardStart', Right='Put'))
(o = ForwardStartBS(o))$PxBS
QFRM documentation built on May 2, 2019, 8:26 a.m.
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Description Usage Arguments Details Value Author(s) References Examples
Description
Compute the price of Forward Start options using BSM. A forward start option is a standard European option whose strike price is set equal to current asset price at some prespecified future date. Employee incentive options are basically forward start option
Usage
1 | ForwardStartBS(o = OptPx(Opt(Style = "ForwardStart")), tts = 0.1)
|
Arguments
o |
an |
tts |
Time to start of the option (in years) |
Details
A standard European option starts at a future time tts.
Value
The original user-supplied OptPX object
with price field PxBS and any other provided user-supplied parameters.
Author(s)
Tongyue Luo, Department of Statistics, Rice University, Spring 2015
References
Hull, John C., Options, Futures and Other Derivatives, 9ed, 2014. Prentice Hall. ISBN 978-0-13-345631-8.http://www-2.rotman.utoronto.ca/~hull/ofod/index.html. p.602
Examples
1 2 3 4 | (o = ForwardStartBS())$PxBS
o = OptPx(Opt(Style='ForwardStart', Right='Put'))
(o = ForwardStartBS(o))$PxBS
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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