RainbowBS {QFRM} | R Documentation |
Rainbow option valuation via Black-Scholes (BS) model
Description
Rainbow Option via Black-Scholes (BS) model
Usage
RainbowBS(o = OptPx(Opt(Style = "Rainbow")), S1 = 100, S2 = 95, D1 = 0,
D2 = 0, sigma1 = 0.15, sigma2 = 0.2, rho = 0.75, Type = c("Max",
"Min"))
Arguments
o |
An object of class |
S1 |
A spot price of the underlying security 1 (usually S1) |
S2 |
A spot price of the underlying security 2 (usually S2) |
D1 |
A percent yield per annum from the underlying security 1 |
D2 |
A percent yield per annum from the underlying security 2 |
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 |
Type |
Rainbow option type: 'Max' or 'Min'. |
Details
Two types of Rainbow options are priced: 'Max'
and 'Min'
.
Value
A list of class RainbowBS
consisting of the original OptPx
object
and the option pricing parameters S1
, Type
, isMax
, and isMin
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 ed, 1998.
Examples
(o = RainbowBS())$PxBS
o = OptPx(Opt(Style = 'Rainbow', Right = "Put"), r = 0.08)
RainbowBS(o, S1=100, S2=95, D1=0,D2=0,sigma1=0.15,sigma2=0.2, rho=0.75,Type='Min')
o = OptPx(Opt(Style = 'Rainbow', K = 102, ttm = 1, Right = "Put"), r = 0.08)
RainbowBS(o, S1=100, S2=95, D1=0,D2=0,sigma1=0.15,sigma2=0.2, rho=0.75,Type='Min')
o=OptPx(Opt(Style = 'Rainbow', K = 102, ttm = 1, Right = "Put"), r = 0.08)
RainbowBS(o, S1=100, S2=95, D1=0,D2=0,sigma1=0.15,sigma2=0.2, rho=0.75,Type='Max')
o=OptPx(Opt(Style = 'Rainbow', K = 102, ttm = 1, Right = "Call"), r = 0.08)
RainbowBS(o, S1=100, S2=95, D1=0,D2=0,sigma1=0.15,sigma2=0.2, rho=0.75,Type='Min')
o=OptPx(Opt(Style = 'Rainbow', K = 102, ttm = 1, Right = "Call"), r = 0.08)
RainbowBS(o, S1=100, S2=95, D1=0,D2=0,sigma1=0.15,sigma2=0.2, rho=0.75,Type='Max')