analyticPricer: Analytic European option pricing under three basic models
In shill1729/pricing: Option pricing engines for (jump)-diffusions

Description Usage Arguments Details Value

Compute European option prices under three basic models: Black-Scholes, Merton's jump diffusion, and a log-normal mixture.

1	analyticPricer(strike, expiry, spot, model, type = "call")

`strike`	a single strike price
`expiry`	a single expiry/maturity in YTE
`spot`	the current spot price of the underlying
`model`	the dynamics defining the model, see details
`type`	the type of option to price

The argument model must be a named list of

name either "gbm", "gcpp", "mixture", or "merton"
param the parameters defining the above model.

For "gbm" and "merton", param should be a vector of the risk-free rate, volatility, and the same with the mean rate of jumps and jump parameters. For "mixture" it must be a matrix of probabilities, risk-neutral rate, and volatilities. For "gcpp", it should be a vector of the risk-free rate, jump rate, jump size, and compensator size.

numeric

shill1729/pricing documentation built on Jan. 9, 2022, 12:56 a.m.