Option2price: Compute risk-neutral prices of a contract paying an asset's...

In Diffform/IMOMBOX: Calculate Bakshi/Kapadia/Madan moments of option implied return distribution

Description

Option2price return the prices of contracts paying the first N powers of the asset's future return $R^N=log(ST/S0)^N$.

Usage

Option2price(XC, C, XP, P, S0, df, N)

Arguments

XC	vector of call strikes
C	vector of call prices
XP	vector of put strikes
P	vector of put prices
S0	if not given will be approximated along the way
df	optional, if not given, will be approximated along the way
N	optional, will return the N (4) first standardized moments. Note that, as there only a discrete number of options employed in this approximation, the accuracy of the result will quickly decrease with N.

Value

Vector of N (4) first standardized moments

Examples

data(DAX)
Option2price(DAX$XC,DAX$C,DAX$XP,DAX$P,1000,0.99)
Option2price(DAX$XC,DAX$C,DAX$XP,DAX$P,1000,0.99,6) # The first 6 contract prices

Diffform/IMOMBOX documentation built on March 22, 2020, 1:18 a.m.