option_price_with_greeks: Option pricing and Greeks in affine models

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

Description

Option pricing and Greeks in affine models

Usage

option_price_with_greeks(strike_mat, mkt, type = c("call", "put", "otm"),
  N = 192L, intLim, payCoeffFoo = callCosCoeffs, params,
  N.factors = 1L, v.0, S.0, ode_sol = NULL, ...)

Arguments

strike_mat	T x K x 1 array
mkt	T x 1 data.frame
type	call, put or otm options (character)
N	integer num integration point see Fang and Oosterle 2008
intLim	integration limits see Fang and Oosterle 2008
payCoeffFoo	ibid
params	Q parameter structure as in jumpDiffusionODEs in affineModelR
N.factors	integer, number of factors in SV model
v.0	matrix of states in pricing, 1 x N
S.0	numeric, stock price at which options are evaluated
ode_sol	array N x T x (1 + N.factors) of affine CF coefficients
...	further arguments to affineCF

Details

This works for a single time period!

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