HolderExtendibleBS {QFRM} | R Documentation |
Holder Extendible option valuation via Black-Scholes (BS) model
Description
Computes the price of exotic option (via BS model) which gives the holder the right to extend the option's maturity at an additional premium.
Usage
HolderExtendibleBS(o = OptPx(Opt(Style = "HolderExtendible")), k = 105,
t1 = 0.5, t2 = 0.75, A = 1)
Arguments
o |
An object of class |
k |
The exercise price of the option at t2, a numeric value. |
t1 |
The time to maturity of the call option, measured in years. |
t2 |
The time to maturity of the put option, measured in years. |
A |
The corresponding asset price has exceeded the exercise price X. |
Value
The original OptPx
object
and the option pricing parameters t1
, t2
,k
,A
, and computed price PxBS
.
Author(s)
Le You, Department of Statistics, Rice University, Spring 2015
References
Hull, J.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
Haug, Espen G.,Option Pricing Formulas, 2ed.
Examples
(o = HolderExtendibleBS())$PxBS
o = Opt(Style='HolderExtendible',Right='Call', S0=100, ttm=0.5, K=100)
o = OptPx(o,r=0.08,q=0,vol=0.25)
(o = HolderExtendibleBS(o,k=105,t1=0.5,t2=0.75,A=1))$PxBS
o = Opt("HolderExtendible","Put", S0=100, ttm=0.5, K=100)
o = OptPx(o,r=0.08,q=0,vol=0.25)
(o = HolderExtendibleBS(o,k=90,t1=0.5,t2=0.75,A=1))$PxBS