optionSpec: Option Specification

In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager

Description

Specify parameters of an option

Usage

optionSpec(style = c("european", "american"), type = c("call", "put"),
  S0 = 100, K = 100, maturity = 1, r = 0.05, volatility = 0.2,
  q = 0)

Arguments

style	style of the option, e.g. european, american, etc.
type	type of the option; "call" or "put"
S0	underlying asset price
K	strike price
maturity	the life of the option, measured in years
r	risk free rate
volatility	volatility of the underlying asset price
q	continuous dividend yield rate for options on stocks or stock indices paying a dividend. Also the foreign risk free rate for options on currencies

Value

an object of class "option" with the parameters that specify the option

Author(s)

Ross Bennett

Examples

am.call <- optionSpec(style="american", type="call")
euro.call <- optionSpec(style="european", type="call", S0=30, K=30, maturity=1, r=0.05, volatility=0.25, q=0)

GARPFRM documentation built on May 2, 2019, 5:45 p.m.