CallParity: Call prices derived from put-call parity

Description Usage Arguments Author(s) Examples

View source: R/BSM_utilities.R

Description

Call prices derived from put-call parity

Usage

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CallParity(Stock, Exercise, Time, Interest, Yield, Put_price)

Arguments

Stock

S0, the initial stock price

Exercise

K, the strike price

Time

T, the time to maturity in fractional years

Interest

r, the risk-free rate of return

Yield

q, the dividend yield

Put_price

the price of the put option to convert

Author(s)

George Fisher GeorgeRFisher@gmail.com

Examples

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# Hull 7th edition Ch 17 P 357
library(ustreasuries)
Stock    <- 49      # S_0
Exercise <- 50      # K
Time     <- 20/52   # T
Interest <- 0.05    # r
Yield    <- 0#0.13  # q
sigma    <- 0.20

EC = EuroCall(Stock, Exercise, Time, Interest, Yield, sigma)
EP = EuroPut(Stock, Exercise, Time, Interest, Yield, sigma)

PC = CallParity(Stock, Exercise, Time, Interest, Yield, EP)
PP = PutParity(Stock, Exercise, Time, Interest, Yield, EC)

writeLines(paste0("European Call Price: ", EC, "\n",
                  "Call Parity Price:   ", PC, "\n",
                  "Difference:          ", EC-PC, "\n\n",

                  "European Put Price:  ", EP, "\n",
                  "Put Parity Price:    ", PP, "\n",
                  "Difference:          ", EP-PP))

grfiv/ustreasuries documentation built on May 17, 2019, 8:36 a.m.