hestonSLVDoubleNoTouchBarrierPricer: Double No Touch Barrier Option Pricer for the Heston SLV...

In klausspanderen/RHestonSLV: R Implementation of the Heston Stochastic Local Volatility Model

Description

The hestonSLVDoubleNoTouchBarrierPricer function evaluates a double-no-touch barrier option with European exercise under the Heston Stochastic Volatility model using Finite Difference methods. The option value and the common first derivatives ("Greeks") are returned.

Usage

  hestonSLVDoubleNoTouchBarrierPricer(
       referenceDate, barrier_lo, barrier_hi, rebate, barrierType, strike, optionType,
       payoffType, maturityDate, hestonProcess, leverageFunction, tGrid=51, xGrid=401,
       vGrid=51, dampingSteps=0, fdmScheme = "ModifiedCraigSneyd")

Arguments

referenceDate	a date setting the reference date for the calculation
barrier_lo	the lower barrier
barrier_lo	the upper barrier
rebate	rebate if barrier is knocked out
barrierType	a string with one of the values “KnockIn”, “KnockOut”, “KIKO” or “KOKI”
strike	the strike price of the option
optionType	a string with one of the values “call” or “put”
payofftype	a string with one of the values “PlainVanilla”, “CashOrNothing” or “AssetOrNothing”
maturityDate	the maturity date of the barrier option
hestonProcess	the Heston model part of the HestonSLV specification
leverageFunction	the leverage function of the HestonSLV model
tGrid	number of time steps for the Finite Difference scheme
xGrid	number of grid points in spot direction
vGrid	number of grid points in variance direction
dampingSteps	number of damping steps to avoid spurious oscillations
fdmScheme	the Finite Difference scheme, a string with one of the values “Hundsdorfer”, “ModifiedHundsdorfer”, “Douglas”, “CraigSneyd”, “ModifiedCraigSneyd”, “ImplicitEuler” or “ExplicitEuler”

Value

The hestonSLVDoubleNoTouchBarrierPricer function returns a list with the following components:

value

value of option

Examples

process <- HestonProcess(function(t,s) {0.05}, function(t,s) {0.02},
                         100, 0.09, 1.0, 0.06, 0.4, -0.75)

leverageFct <- function(t, s) { exp(-t)*(s+70)/100.0 }

s <- seq(50, 150, 5)
plot(s, sapply(s, function(spot) {
  process["spot"] <- spot
  hestonSLVDoubleNoTouchBarrierPricer(Sys.Date(), 50, 150, 0.0, "KnockOut", 0, "call",
                                      "CashOrNothing", Sys.Date()+365, process,
                                      leverageFct)$value
  }), type="b",lty=2, ylab="NPV",xlab="Strike"
)

klausspanderen/RHestonSLV documentation built on Oct. 4, 2021, 11:10 a.m.