Nsvh1Choi2019 {FER}

Calculate the option price under the NSVh model with lambda=1 (Choi et al. 2019)

Description

Calculate the option price under the NSVh model with lambda=1 (Choi et al. 2019)

Usage

Nsvh1Choi2019(
  strike = forward,
  spot,
  texp = 1,
  sigma,
  vov = 0,
  rho = 0,
  intr = 0,
  divr = 0,
  cp = 1L,
  forward = spot * exp(-divr * texp)/df,
  df = exp(-intr * texp)
)

Arguments

strike

(vector of) strike price

spot

(vector of) spot price

texp

(vector of) time to expiry

sigma

(vector of) volatility

vov

(vector of) vol-of-vol

rho

(vector of) correlation

intr

interest rate

divr

dividend rate

cp

call/put sign. 1 (default) for call price, -1 for put price, NULL for Bachelier volatility

forward

forward price. If given, forward overrides spot

df

discount factor. If given, df overrides intr

Value

BS volatility or option price based on cp

References

Choi, J., Liu, C., & Seo, B. K. (2019). Hyperbolic normal stochastic volatility model. Journal of Futures Markets, 39(2), 186–204. doi: 10.1002/fut.21967

Examples

spot <- 100
strike <- seq(80,125,5)
texp <- 1.2
sigma <- 20
vov <- 0.2
rho <- -0.5
strike <- seq(0.1, 2, 0.1)

FER::Nsvh1Choi2019(strike, spot, texp, sigma, vov, rho)