Nothing
price.mln.option <-
function(r, te, y, k, alpha.1, meanlog.1, meanlog.2, sdlog.1, sdlog.2)
{
discount.factor = exp(-r * te)
alpha.2 = 1 - alpha.1
expected.val.1 = exp(meanlog.1 + (0.5)*(sdlog.1^2))
expected.val.2 = exp(meanlog.2 + (0.5)*(sdlog.2^2))
s0 = exp((y-r) * te) * (alpha.1 * expected.val.1 + alpha.2 * expected.val.2)
u1 = (log(k) - meanlog.1)/sdlog.1
tmp1 = expected.val.1 * (1 - pnorm(u1 - sdlog.1)) - k * (1 - pnorm(u1))
c1 = discount.factor * tmp1
u2 = (log(k) - meanlog.2)/sdlog.2
tmp2 = expected.val.2 * (1 - pnorm(u2 - sdlog.2)) - k * (1 - pnorm(u2))
c2 = discount.factor * tmp2
call.option.price = alpha.1 * c1 + alpha.2 * c2
put.option.price = call.option.price - s0 * exp(-y*te) + k * discount.factor
out = list(call = call.option.price, put = put.option.price, s0 = s0)
out
}
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