analytic_cpois: Analytic option price formula under Compensated Poisson...
In shill1729/OptionPricer: An option pricer for European and American vanilla stock options
Description
Usage
Arguments
Value
View source: R/analytic_comp_pois.R
Description
Analytic European option prices under exponential compensated Poisson process.
Usage
1
analytic_cpois(spot, strike, maturity, rate, a, b, what = "put", t = 0)
Arguments
spot
current underlying share price
strike
the agreed upon strike price of the option
maturity
the years until expiration (in trading years)
rate
the discounting rate (i.e. the risk-neutral rate)
a
the jump coefficient
b
the compensator coefficient
what
the type of option to price, call or put
t
the current time
Value
numerical
shill1729/OptionPricer documentation built on June 11, 2020, 12:18 a.m.
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Description Usage Arguments Value
View source: R/analytic_comp_pois.R
Description
Analytic European option prices under exponential compensated Poisson process.
Usage
1 | analytic_cpois(spot, strike, maturity, rate, a, b, what = "put", t = 0)
|
Arguments
spot |
current underlying share price |
strike |
the agreed upon strike price of the option |
maturity |
the years until expiration (in trading years) |
rate |
the discounting rate (i.e. the risk-neutral rate) |
a |
the jump coefficient |
b |
the compensator coefficient |
what |
the type of option to price, call or put |
t |
the current time |
Value
numerical
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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