Nothing
price.ew.option <-
function(r, te, s0, k, sigma, y, skew, kurt)
{
discount.factor = exp(-r * te)
v = sqrt(exp(sigma^2 * te) - 1)
m = log(s0) + (r - y - (sigma^2)/2) * te
skew.lognorm = 3 * v + v^3
kurt.lognorm = 16 * v^2 + 15 * v^4 + 6 * v^6 + v^8
cumul.lognorm = (s0 * exp((r-y)*te) * v)^2
density.lognorm = dlnorm(x = k, meanlog = log(s0) + (r - y - (sigma^2)/2)*te, sdlog = sigma * sqrt(te), log = FALSE)
frst.der.lognorm = -1 * ( 1 + (log(k) - m)/(te * sigma^2) ) * density.lognorm/k
scnd.der.lognorm = -1 * ( 2 + (log(k) - m)/(te * sigma^2) ) * frst.der.lognorm / k - density.lognorm/(k^2 * sigma^2)
call.lognorm = price.bsm.option(r = r, te = te, s0 = s0, k = k, sigma = sigma, y = y)$call
ew.call = call.lognorm - discount.factor * (skew - skew.lognorm) * cumul.lognorm^(1.5) * frst.der.lognorm/6 +
discount.factor * (kurt - kurt.lognorm) * cumul.lognorm^2 * scnd.der.lognorm/24
ew.put = ew.call + k * exp(-r * te) - s0 * exp(-y * te)
out = list(call = ew.call, put = ew.put)
out
}
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.