Description Usage Arguments Details Value Author(s) References See Also Examples
convenience method for standard Warrant pricing
1 |
type |
"call" or "put" |
S |
the asset price, a numeric value. |
X |
the exercise price, a numeric value. |
Time |
time to maturity measured in years |
r |
the annualized rate of interest, a numeric value; e.g. 0.25 means 25% pa. |
r_d |
the annualized dividend yield, a numeric value; e.g. 0.25 means 25% pa. |
sigma |
the annualized volatility of the underlying security, a numeric value; e.g. 0.3 means 30% volatility pa. |
ratio |
ratio, number of underlyings one certificate refers to, a numeric value; e.g. 0.25 means 4 certificates refer to 1 share of the underlying asset |
This is simply a convenience wrapper function for the GBSOption
method
which can also scale with a ratio
.
Classification according to the SVSP Swiss Derivative Map 2008: Warrants (110)
Classification according to the SVSP Swiss Derivative Map 2010: Warrants (2100)
the price (scalar or vector) of the Warrant
Stefan Wilhelm wilhelm@financial.com
SVSP Swiss Derivative Map http://www.svsp-verband.ch/map/
GBSOption
in fOptions package
1 2 |
Loading required package: fBasics
Loading required package: timeDate
Loading required package: timeSeries
Loading required package: fOptions
Loading required package: fExoticOptions
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