OptionPrice: 'OptionPrice': Method for Evaluation of a CALL/PUT Option.

In PricingMixedTS: Option Pricing with exponential MixedTS process

Description

The OptionPrice computes the no-arbitrage price for a CALL or PUT option

Usage

## S4 method for signature 'param.MixedTS'
OptionPrice(object, S0, Strike, TimeToMat, ret = 0, yield = 0,
  basis = 360, QMeasure = FALSE,  type = "CALL")

Arguments

object	an object of class param.MixedTS-class that contains the model parameters under real measure.
S0	Current price of the underlying asset.
Strike	Level of the Strike price.
TimeToMat	Time to Maturity.
ret	a numeric object that contains the costant risk free rate.
yield	convenience yield of the underlying asset.
basis	Identify how to counter the time interval.
QMeasure	a logical variable. If Qmeasure = FALSE the equivalent martingale is selected according to the Esscher Transform otherwise th mean correcting martingale measure is used when Qmeasure = TRUE..
type	Identify the nature of the Option. Default CALL.

Value

The method returns a object containing option prices.

Author(s)

PricingMixedTS team.

References

Available as soon as possible

Examples

## Available as soon as possible

PricingMixedTS documentation built on May 2, 2019, 5:46 p.m.