noArbPrices: No-arbitrage panels

Description Usage Arguments Value

Description

Calculate minimal distance no-arbitrage prices

Usage

1
noArbPrices(option.panel)

Arguments

option.panel

A data-frame with columns relMid = normalized mid-prices (current stock-price = 1), r = annualized interest, logF = log forward price, dT = option maturity

Value

A no-arbitrage enforced panel with the same structure as the original panel


piotrek-orlowski/impliedCF documentation built on May 7, 2019, 8:18 a.m.