QuotientBS {QFRM}

Quotient option valuation via Black-Scholes (BS) model

Description

Quotient Option via Black-Scholes (BS) model

Usage

QuotientBS(o = OptPx(Opt(Style = "Quotient")), I1 = 100, I2 = 100,
  g1 = 0.04, g2 = 0.03, sigma1 = 0.18, sigma2 = 0.15, rho = 0.75)

Arguments

o

An object of class OptPx

I1

A spot price of the underlying security 1 (usually I1)

I2

A spot price of the underlying security 2 (usually I2)

g1

Payout rate of the first stock

g2

Payout rate of the 2nd stock

sigma1

a vector of implied volatilities for the associated security 1

sigma2

a vector of implied volatilities for the associated security 2

rho

is the correlation between asset 1 and asset 2

Value

A list of class QuotientBS consisting of the original OptPx object and the option pricing parameters I1,I2, Type, isForeign, and isDomestic as well as the computed price PxBS.

Author(s)

Chengwei Ge, Department of Statistics, Rice University, Spring 2015

References

Zhang Peter G., Exotic Options, 2nd, 1998. http://amzn.com/9810235216.

Examples

(o = QuotientBS())$PxBS

o = OptPx(Opt(Style = 'Quotient', Right = "Put"), r= 0.05)
(o = QuotientBS(o, I1=100, I2=100, g1=0.04, g2=0.03, sigma1=0.18,sigma2=0.15, rho=0.75))$PxBS

o = OptPx(Opt(Style = 'Quotient',  Right = "Put", ttm=1, K=1), r= 0.05)
QuotientBS(o, I1=100, I2=100, g1=0.04, g2=0.03, sigma1=0.18,sigma2=0.15, rho=0.75)

o = OptPx(Opt(Style = 'Quotient',  Right = "Call", ttm=1, K=1), r= 0.05)
QuotientBS(o, I1=100, I2=100, g1=0.04, g2=0.03, sigma1=0.18,sigma2=0.15, rho=0.75)