1 | call.value(S, X, b, r, Time, v)
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 | ##---- Should be DIRECTLY executable !! ----
##-- ==> Define data, use random,
##-- or do help(data=index) for the standard data sets.
## The function is currently defined as
function(S, X, b, r, Time, v) {
S <- as.numeric(S)
X <- as.numeric(X)
b <- as.numeric(b)
r <- as.numeric(r)
Time <- as.numeric(Time)
v <- as.numeric(v)
d1 <- (log(S/X) + (r - b + (v^2)/2) * Time)/(v * sqrt(Time))
d2 <- d1 - v * (sqrt(Time))
cp <- (S * exp(-b * Time) * pnorm(d1)) - (X * exp(-r * Time) *
pnorm(d2))
delta.c <- exp(-b * Time) * pnorm(d1)
if(identical(cp, NaN)) {
cp <- delta.c <- 0
}
list(value=cp, delta=delta.c)
}
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