pricer_pde: Option pricing via PDE finite-difference solvers

In shill1729/pricing: Option pricing engines for (jump)-diffusions

Description

Compute European and American option prices under three basic models: Black-Scholes, and a log-normal mixture. Use the PIDE solver to price under Merton's jump-diffusion.

Usage

pricer_pde(
  strikes,
  expiries,
  spot,
  model,
  type = "call",
  N = 100,
  M = 100,
  american = TRUE
)

Arguments

strikes	vector of strike prices
expiries	vector of maturities, in trading years
spot	the current spot price of the underlying
model	the dynamics defining the model, see details
type	the type of option to price
N	time-resolution
M	space-resolution
american	boolean for American options (TRUE) or European options

Details

The argument model must be a named list of

• name either "gbm" or "mixture"

• param the parameters defining the above model.

For "gbm", 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.

Value

data.frame

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