Warrant: Warrant valuation using pricing by duplication

In fCertificates: fCertificates - Basics of Certificates and Structured Products Valuation

Description

convenience method for standard Warrant pricing

Usage

Warrant(type, S, X, Time, r, r_d, sigma, ratio = 1)

Arguments

type	"call" or "put"
S	the asset price, a numeric value.
X	the exercise price, a numeric value.
Time	time to maturity measured in years
r	the annualized rate of interest, a numeric value; e.g. 0.25 means 25% pa.
r_d	the annualized dividend yield, a numeric value; e.g. 0.25 means 25% pa.
sigma	the annualized volatility of the underlying security, a numeric value; e.g. 0.3 means 30% volatility pa.
ratio	ratio, number of underlyings one certificate refers to, a numeric value; e.g. 0.25 means 4 certificates refer to 1 share of the underlying asset

Details

This is simply a convenience wrapper function for the GBSOption method which can also scale with a ratio.

Classification according to the SVSP Swiss Derivative Map 2008: Warrants (110)
Classification according to the SVSP Swiss Derivative Map 2010: Warrants (2100)

Value

the price (scalar or vector) of the Warrant

Author(s)

Stefan Wilhelm [e-mail]

References

SVSP Swiss Derivative Map http://www.svsp-verband.ch/map/

See Also

GBSOption in fOptions package

Examples

##
Warrant("c", S=40, X=42, Time=1, r=0.035, r_d=0, sigma=0.3, ratio=0.1)

Example output

Loading required package: fBasics
Loading required package: timeDate
Loading required package: timeSeries
Loading required package: fOptions
Loading required package: fExoticOptions
[1] 0.4529851

fCertificates documentation built on May 2, 2019, 5:50 p.m.