OptionPricingFunctions-package: Option Pricing Functions

In Lcolzani98/OptionPricingFunctions: Option Pricing Functions

Option Pricing Functions

Description

A collection of functions to price different kind of options, we use the formula given by the book "At the complete guide to option pricing formulas by Espen Gaarder Haug"

Details

To use the package you need to install it and to run library("name of the package"), after that you can choose the function you waNt to use to price your option

Author(s)

Colzani Luca [e-mail], Magni Marta [e-mail] Mancassola Gaia [e-mail], Kakkanattu Jenson [e-mail]

Maintainer: Luca Colzani <[e-mail]>

References

At the complete guide to option pricing formulas by Espen Gaarder Haug

Examples

GARO(80,85,0.05,0.08,0.2,0.25,"P")
SPO(10,100,0.08,0.02,0.3,0.5,2,"C")
FSO(60,1,0.08,0.04,0.3,0.25,1.1,"C")
ES(35,365,90,0.05,0.5,0.04)
SWPTN(4,0.07,0.075,0.06,2,0.2,2,"C")
APO(90,100,0.1,0.02,0.25,"C")
PO(100,105,15000,0.07,0.02,0.05,0.3,0.3,-0.5,0.1,"C")
SOA(28,20,0.05,0.29,0.36,0.42,0.25,0,0,7,1,1,"C")
Margrabe(125,100,0.45,0.47,1,0,0.04,0.02)
Gap(50,50,57,0.09,0.09,0.2,0.5,"C")
CashorNothing(100,80, 10,0.06,0,0.35,0.75,"P") 
AoN(70,65,0.07,0.02,0.27,0.5,"P")
Supershare(100,90,110,0.1,0,0.2,0.25)
Powered(100,100,0.1,0.07,0.1,2,0.5,"C")
Chooser(50,50,0.08,0.08,0.25,0.5, 0.25)
DoubleBarrier(100,100,0.1,0.1,0.15,0.25,50,150,c(-5,5),0,0,"co")
Black76_F(19,19,19,0.1,0.28,0.75,1,"C")
GeneralizedBlackScholes(75,70,0.1,0.05,0.35,0.5,"P")
EnergySwapoptions(33,35,33,365,92,0.05,0.05,0.05,0.05,0.05,0.18,0.5,0.5466,"C")
BAWApproximation(100,100,0.1,0,0.15,0.1,"C")
TrinomialTree(100, 110, 0.1 ,0.1, 0.27, 0.5, 9, "P", "American")
CPO(100,100,0.1,0.07,0.1,2,30 ,0.5,"C")
EuropeanStandardMonteCarlo(100,90,0.05,0.02,0.3,1000,0.5,"C")
EuropeanBinomial(100,90,0.05,0.02,0.3,0.5,3,2,50,"C","CPC")

Lcolzani98/OptionPricingFunctions documentation built on June 13, 2022, 5:46 a.m.