distributionPricer: Price vanilla European options from a given underlying...

In prodipta/bsoption: Black-Scholes implementation for equity index options

Description

Price vanilla European call or put options from a given underlying distribution, using the first principle.

Usage

distributionPricer(forward, strike, voldist, type = "call", discount = 1,
  model = "lognormal")

Arguments

forward	Forward level of the underlying.
strike	Strike of the option.
voldist	The distribution of the underlying (obtained using either impliedDistribution or realizedDistribution function).
type	The type of the option (call or put).
discount	Discount factor.
model	Model type, only lognormal is implemented.

Details

The underlying distribution is used to compute the payoff profile of option and this is then integrated within the range to arrive at the price of the option. All values are assumed to be zero outside the specified distribution range. #'@seealso impliedDistribution

Value

Price of the option.

prodipta/bsoption documentation built on May 29, 2019, 2:57 p.m.