R/BatesP2.R

In veldanie/SuraStructuredNotes: Sura Asset Management Structured Products

BatesP2<-function(kv, thetav, sigmav, muj, sigmaj, lambda0, lambda1, p, kr, thetar, sigmar,kf, thetaf, sigmaf, var, r, rf, spot, strike, t){
  int2=integrate(intBatesP2, lower=0, upper=Inf,kv, thetav, sigmav, muj, sigmaj, lambda0, lambda1, p, kr, thetar, sigmar,kf, thetaf, sigmaf, var, r, rf, spot, strike, t)
  P=0.5*cf(0,kv, thetav, sigmav, muj, sigmaj, lambda0, lambda1, p, kr, thetar, sigmar,kf, thetaf, sigmaf, var, r, rf, t)-(1/pi)*int2$value
  return(P)
}