noArbitrageOptionCheck: Check no-arbitrate conditions in an option panel
In piotrek-orlowski/impliedCF: Implied Characteristic Functions: power-divergence option portfolios. Magic.
Description
Usage
Arguments
Value
Description
Given an option panel, the value of the underlying, the interest
rate for the appropriate maturity and the dividend yield, check
no-arbitrage conditions for static payoffs, i.e. that there can be no
non-positive value portfolio with a strictly positive payoff. This follows
http://www.fabiomercurio.it/NoArbitrage.pdf
Usage
1
noArbitrageOptionCheck(pn, r, q, s0, call = TRUE)
Arguments
params.Q
A list containing the Q parameter structures
stateMat
An Sx2 matrix (with named columns v1,v2) that contains the
states at which the VIX is to be calculated
dT
A positive scalar, which is the interval over which the VIX should
be calculated
panel
data.frame of option prices with fields r (interest rate), logF (log-forward rate), dT (maturity), k (log-strike), relMid (relative price)
Value
is.no.arbitrage logical, 1 if there is no arbitrage
piotrek-orlowski/impliedCF documentation built on May 7, 2019, 8:18 a.m.
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Description Usage Arguments Value
Description
Given an option panel, the value of the underlying, the interest
rate for the appropriate maturity and the dividend yield, check
no-arbitrage conditions for static payoffs, i.e. that there can be no
non-positive value portfolio with a strictly positive payoff. This follows
http://www.fabiomercurio.it/NoArbitrage.pdf
Usage
1 | noArbitrageOptionCheck(pn, r, q, s0, call = TRUE)
|
Arguments
params.Q |
A list containing the Q parameter structures |
stateMat |
An Sx2 matrix (with named columns v1,v2) that contains the states at which the VIX is to be calculated |
dT |
A positive scalar, which is the interval over which the VIX should be calculated |
panel |
data.frame of option prices with fields r (interest rate), logF (log-forward rate), dT (maturity), k (log-strike), relMid (relative price) |
Value
is.no.arbitrage logical, 1 if there is no arbitrage
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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