makeFixedExpiryMktList: Utilities for creating mkt lists for simulating option prices

In piotrek-orlowski/transformOptionPricer: Characteristic-function based option pricer.

Description

List with fixed expiry (changing maturity day by day)

List with fixed maturity each day

Usage

makeFixedExpiryMktList(num.days, t = 37/365, expiry.switch = 30,
  r = 0, p = 1, q = 0)

makeFixedMaturityMktList(num.days, r = 0, t = 30/365, q = 0, p = 1)

Arguments

num.days	Length of list, how many days.
t	vector of starting maturities
expiry.switch	how often a new series of options is issued
r	interest rate
p	stock price
q	dividend yield
num.days	Length of list, how many days.
t	vector of starting maturities
r	interest rate
q	dividend yield
p	stock price

Value

A list mkt lists

A list containing lists svFast,svSlow and jmp

piotrek-orlowski/transformOptionPricer documentation built on July 21, 2020, 11:51 a.m.