| ChooserBS {QFRM} | R Documentation |
Chooser option valuation via Black-Scholes (BS) model
Description
Compute an exotic option that allow the holder decide the option
will be a call or put option at some predetermined future date.
In a simple case, both put and call option are plain vanilla option.
The value of the simple chooser option is \max{C(S,K,t_1),P(S,K,t_2)}.
The plain vanilla option is calculated based on the BS model.
Usage
ChooserBS(o = OptPx(Opt(Style = "Chooser")), t1 = 9/12, t2 = 3/12)
Arguments
o |
An object of class |
t1 |
The time to maturity of the call option, measured in years. |
t2 |
The time to maturity of the put option, measured in years. |
Value
A list of class SimpleChooserBS consisting of the original OptPx object
and the option pricing parameters t1, t2,
as well as the computed price PxBS.
Author(s)
Le You, Department of Statistics, Rice University, spring 2015
References
Hull, John C.,Options, Futures and Other Derivatives, 9ed, 2014. Prentice Hall. ISBN 978-0-13-345631-8. http://www-2.rotman.utoronto.ca/~hull/ofod/index.html
Huang Espen G., Option Pricing Formulas, 2ed. http://down.cenet.org.cn/upfile/10/20083212958160.pdf
Wee, Lim Tiong, MFE5010 Exotic Options,Notes for Lecture 4 Chooser option. http://www.stat.nus.edu.sg/~stalimtw/MFE5010/PDF/L4chooser.pdf
Humphreys, Natalia A., ACTS 4302 Principles of Actuarial Models: Financial Economics. Lesson 14: All-or-nothing, Gap, Exchange and Chooser Options.
Examples
(o = ChooserBS())$PxBS
o = Opt(Style='Chooser',Right='Other',S0=50, K=50)
(o = ChooserBS(OptPx(o, r=0.06, q=0.02, vol=0.2),9/12, 3/12))$PxBS
o = Opt(Style='Chooser',Right='Other',S0=50, K=50)
(o = ChooserBS (OptPx(o,r=0.08, q=0, vol=0.25),1/2, 1/4))$PxBS
o = Opt(Style='Chooser',Right='Other',S0=100, K=50)
(o = ChooserBS(OptPx(o,r=0.08, q=0.05, vol=0.3),1/2, 1/4))$PxBS