QuotientBS: Quotient option valuation via Black-Scholes (BS) model

In QFRM: Pricing of Vanilla and Exotic Option Contracts

Description

Quotient Option via Black-Scholes (BS) model

Usage

QuotientBS(o = OptPx(Opt(Style = "Quotient")), I1 = 100, I2 = 100,
  g1 = 0.04, g2 = 0.03, sigma1 = 0.18, sigma2 = 0.15, rho = 0.75)

Arguments

o	An object of class OptPx
I1	A spot price of the underlying security 1 (usually I1)
I2	A spot price of the underlying security 2 (usually I2)
g1	Payout rate of the first stock
g2	Payout rate of the 2nd stock
sigma1	a vector of implied volatilities for the associated security 1
sigma2	a vector of implied volatilities for the associated security 2
rho	is the correlation between asset 1 and asset 2

Value

A list of class QuotientBS consisting of the original OptPx object and the option pricing parameters I1,I2, Type, isForeign, and isDomestic as well as the computed price PxBS.

Author(s)

Chengwei Ge, Department of Statistics, Rice University, Spring 2015

References

Zhang Peter G., Exotic Options, 2nd, 1998. http://amzn.com/9810235216.

Examples

(o = QuotientBS())$PxBS

o = OptPx(Opt(Style = 'Quotient', Right = "Put"), r= 0.05)
(o = QuotientBS(o, I1=100, I2=100, g1=0.04, g2=0.03, sigma1=0.18,sigma2=0.15, rho=0.75))$PxBS

o = OptPx(Opt(Style = 'Quotient',  Right = "Put", ttm=1, K=1), r= 0.05)
QuotientBS(o, I1=100, I2=100, g1=0.04, g2=0.03, sigma1=0.18,sigma2=0.15, rho=0.75)

o = OptPx(Opt(Style = 'Quotient',  Right = "Call", ttm=1, K=1), r= 0.05)
QuotientBS(o, I1=100, I2=100, g1=0.04, g2=0.03, sigma1=0.18,sigma2=0.15, rho=0.75)

Example output

[1] 1.2543e-122
[1] 46.16263
$S0
[1] 50

$ttm
[1] 1

$K
[1] 1

$Style
$Style$Name
[1] "Quotient"

$Style$Vanilla
[1] FALSE

$Style$Exotic
[1] TRUE

$Style$European
[1] FALSE

$Style$American
[1] FALSE

$Style$Asian
[1] FALSE

$Style$Binary
[1] FALSE

$Style$AverageStrike
[1] FALSE

$Style$Barrier
[1] FALSE

$Style$Chooser
[1] FALSE

$Style$Compound
[1] FALSE

$Style$DeferredPayment
[1] FALSE

$Style$ForeignEquity
[1] FALSE

$Style$ForwardStart
[1] FALSE

$Style$Gap
[1] FALSE

$Style$HolderExtendible
[1] FALSE

$Style$Ladder
[1] FALSE

$Style$Lookback
[1] FALSE

$Style$MOPM
[1] FALSE

$Style$Perpetual
[1] FALSE

$Style$Quotient
[1] TRUE

$Style$Rainbow
[1] FALSE

$Style$Shout
[1] FALSE

$Style$SimpleChooser
[1] FALSE

$Style$VarianceSwap
[1] FALSE


$Right
$Right$Name
[1] "Put"

$Right$Call
[1] FALSE

$Right$Put
[1] TRUE

$Right$Other
[1] FALSE

$Right$SignCP
[1] -1


$Curr
[1] "$"

$ContrSize
[1] 100

$SName
[1] "A stock share"

$SSymbol
[1] ""

$r
[1] 0.05

$q
[1] 0

$rf
[1] 0

$vol
[1] 0.3

$NSteps
[1] 3

$u
[1] 1.18911

$d
[1] 0.8409651

$dt
[1] 0.3333333

$a
[1] 1.016806

$p
[1] 0.5050806

$SYld
[1] 0.05

$DF_ttm
[1] 0.9512294

$DF_dt
[1] 0.9834715

$PxBS
[1] 0.04910146

attr(,"class")
[1] "Opt"   "OptPx"
$S0
[1] 50

$ttm
[1] 1

$K
[1] 1

$Style
$Style$Name
[1] "Quotient"

$Style$Vanilla
[1] FALSE

$Style$Exotic
[1] TRUE

$Style$European
[1] FALSE

$Style$American
[1] FALSE

$Style$Asian
[1] FALSE

$Style$Binary
[1] FALSE

$Style$AverageStrike
[1] FALSE

$Style$Barrier
[1] FALSE

$Style$Chooser
[1] FALSE

$Style$Compound
[1] FALSE

$Style$DeferredPayment
[1] FALSE

$Style$ForeignEquity
[1] FALSE

$Style$ForwardStart
[1] FALSE

$Style$Gap
[1] FALSE

$Style$HolderExtendible
[1] FALSE

$Style$Ladder
[1] FALSE

$Style$Lookback
[1] FALSE

$Style$MOPM
[1] FALSE

$Style$Perpetual
[1] FALSE

$Style$Quotient
[1] TRUE

$Style$Rainbow
[1] FALSE

$Style$Shout
[1] FALSE

$Style$SimpleChooser
[1] FALSE

$Style$VarianceSwap
[1] FALSE


$Right
$Right$Name
[1] "Call"

$Right$Call
[1] TRUE

$Right$Put
[1] FALSE

$Right$Other
[1] FALSE

$Right$SignCP
[1] 1


$Curr
[1] "$"

$ContrSize
[1] 100

$SName
[1] "A stock share"

$SSymbol
[1] ""

$r
[1] 0.05

$q
[1] 0

$rf
[1] 0

$vol
[1] 0.3

$NSteps
[1] 3

$u
[1] 1.18911

$d
[1] 0.8409651

$dt
[1] 0.3333333

$a
[1] 1.016806

$p
[1] 0.5050806

$SYld
[1] 0.05

$DF_ttm
[1] 0.9512294

$DF_dt
[1] 0.9834715

$PxBS
[1] 0.04175793

attr(,"class")
[1] "Opt"   "OptPx"

QFRM documentation built on May 2, 2019, 8:26 a.m.