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modification Carr-Madan

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François Pelletier 2014-05-27 23:07:55 -04:00
parent 4566a4d5b8
commit 4816110870
4 changed files with 77 additions and 23 deletions
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0
.build.timestamp Normal file
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19
GAL-Buckle95.Rnw
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@ -394,13 +394,28 @@ xtable(pts.estim.ns.rn,caption="Paramètres neutres au risque",digits=4)
<<>>=
f_putEpps <- function(param,strikeprice,char.fn,eval.time,expiry.time,rate,...)
putEpps(strikeprice,char.fn,param,eval.time,expiry.time,rate,...)
prix_Epps <- as.data.frame(sapply(l.pts.estim.ns.rn,f_putEpps,strike/stock0,cfLM,0,T,rfrate))
prix_put_Epps <- as.data.frame(cbind(strike/stock0,sapply(l.pts.estim.ns.rn,f_putEpps,strike/stock0,cfLM,0,T,rfrate)))
@
<<results=tex>>=
xtable(prix_Epps,caption="Prix unitaire de l'option de vente, Méthode de Epps",digits=6)
xtable(prix_put_Epps,caption="Prix unitaire de l'option de vente, Méthode de Epps",digits=6)
@
\section{Méthode de Carr-Madan}
<<>>=
f_callCarrMadan <- function(param,strikeprice,char.fn,eval.time,expiry.time,rate,alpha,...)
{
callCarrMadan(strikeprice,char.fn,param,eval.time,expiry.time,rate,alpha,...)
}
prix_call_CarrMadan <- as.data.frame(cbind(strike/stock0,sapply(l.pts.estim.ns.rn,f_callCarrMadan,strike/stock0,cfLM,0,T,rfrate,alpha)))
@
<<results=tex>>=
xtable(prix_call_CarrMadan,caption="Prix unitaire de l'option d'achat, Méthode de Carr-Madan",digits=6)
@

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GAL-Buckle95.pdf
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81
GAL-Buckle95.tex
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@ -373,7 +373,7 @@ Test du $\chi^2$, Méthode avec intégration
+ cfGAL,"integral")),digits=6)
\end{Sinput}
% latex table generated in R 3.1.0 by xtable 1.7-3 package
% Sat May 24 10:56:20 2014
% Tue May 27 23:05:26 2014
\begin{table}[ht]
\centering
\begin{tabular}{rrrr}
@ -399,7 +399,7 @@ Test du $\chi^2$, Méthode avec point de selle
+ pGAL,"saddlepoint")),digits=6)
\end{Sinput}
% latex table generated in R 3.1.0 by xtable 1.7-3 package
% Sat May 24 10:56:20 2014
% Tue May 27 23:05:26 2014
\begin{table}[ht]
\centering
\begin{tabular}{rrrr}
@ -425,7 +425,7 @@ Statistique de Kolmogorov-Smirnov
> xtable(do.call(rbind,mclapply(l.pts.estim,ks.test1,sRET,"pGAL")),digits=6)
\end{Sinput}
% latex table generated in R 3.1.0 by xtable 1.7-3 package
% Sat May 24 10:56:20 2014
% Tue May 27 23:05:26 2014
\begin{table}[ht]
\centering
\begin{tabular}{rrrrrr}
@ -453,7 +453,7 @@ Statistique de distance minimale
+ md.test,sRET,tvariate1,cfGAL,empCF)),digits=6)
\end{Sinput}
% latex table generated in R 3.1.0 by xtable 1.7-3 package
% Sat May 24 10:56:20 2014
% Tue May 27 23:05:26 2014
\begin{table}[ht]
\centering
\begin{tabular}{rrrr}
@ -550,7 +550,7 @@ Test de Wald
\end{Sinput}
\begin{Soutput}
% latex table generated in R 3.1.0 by xtable 1.7-3 package
% Sat May 24 10:56:20 2014
% Tue May 27 23:05:26 2014
\begin{table}[ht]
\centering
\begin{tabular}{rrrrrrrrr}
@ -587,7 +587,7 @@ des rendements non réduits.
+ digits=4)
\end{Sinput}
% latex table generated in R 3.1.0 by xtable 1.7-3 package
% Sat May 24 10:56:20 2014
% Tue May 27 23:05:26 2014
\begin{table}[ht]
\centering
\begin{tabular}{rrrrrrrrr}
@ -642,7 +642,7 @@ des rendements non réduits.
> xtable(pts.estim.ns.rn,caption="Paramètres neutres au risque",digits=4)
\end{Sinput}
% latex table generated in R 3.1.0 by xtable 1.7-3 package
% Sat May 24 10:56:20 2014
% Tue May 27 23:05:26 2014
\begin{table}[ht]
\centering
\begin{tabular}{rrrrrrrrr}
@ -665,36 +665,75 @@ des rendements non réduits.
\begin{Sinput}
> f_putEpps <- function(param,strikeprice,char.fn,eval.time,expiry.time,rate,...)
+ putEpps(strikeprice,char.fn,param,eval.time,expiry.time,rate,...)
> prix_Epps <- as.data.frame(sapply(l.pts.estim.ns.rn,f_putEpps,strike/stock0,cfLM,0,T,rfrate))
> prix_put_Epps <- as.data.frame(cbind(strike/stock0,sapply(l.pts.estim.ns.rn,f_putEpps,strike/stock0,cfLM,0,T,rfrate)))
\end{Sinput}
\end{Schunk}
\begin{Schunk}
\begin{Sinput}
> xtable(prix_Epps,caption="Prix unitaire de l'option de vente, Méthode de Epps",digits=6)
> xtable(prix_put_Epps,caption="Prix unitaire de l'option de vente, Méthode de Epps",digits=6)
\end{Sinput}
% latex table generated in R 3.1.0 by xtable 1.7-3 package
% Sat May 24 10:56:20 2014
% Tue May 27 23:05:26 2014
\begin{table}[ht]
\centering
\begin{tabular}{rrrrrrrrr}
\begin{tabular}{rrrrrrrrrr}
\hline
& pt.optim1 & pt.optim2 & pt.optim3 & pt.optim4 & pt.optim5 & pt.optim6 & pt.optim7 & pt.optim8 \\
& V1 & pt.optim1 & pt.optim2 & pt.optim3 & pt.optim4 & pt.optim5 & pt.optim6 & pt.optim7 & pt.optim8 \\
\hline
1 & 0.015415 & 0.015785 & 0.015431 & 0.015417 & 0.015794 & 0.015427 & 0.015792 & 0.015819 \\
2 & 0.017360 & 0.017737 & 0.017377 & 0.017362 & 0.017746 & 0.017372 & 0.017742 & 0.017770 \\
3 & 0.019456 & 0.019838 & 0.019474 & 0.019458 & 0.019847 & 0.019469 & 0.019843 & 0.019871 \\
4 & 0.021705 & 0.022090 & 0.021724 & 0.021707 & 0.022099 & 0.021719 & 0.022093 & 0.022122 \\
5 & 0.024107 & 0.024492 & 0.024126 & 0.024109 & 0.024501 & 0.024121 & 0.024495 & 0.024523 \\
6 & 0.026661 & 0.027044 & 0.026681 & 0.026663 & 0.027053 & 0.026676 & 0.027046 & 0.027074 \\
7 & 0.029365 & 0.029745 & 0.029385 & 0.029367 & 0.029753 & 0.029381 & 0.029745 & 0.029773 \\
8 & 0.032217 & 0.032591 & 0.032238 & 0.032219 & 0.032600 & 0.032233 & 0.032591 & 0.032617 \\
9 & 0.035214 & 0.035580 & 0.035235 & 0.035216 & 0.035589 & 0.035231 & 0.035579 & 0.035605 \\
1 & 0.980000 & 0.015415 & 0.015785 & 0.015431 & 0.015417 & 0.015794 & 0.015427 & 0.015792 & 0.015819 \\
2 & 0.985000 & 0.017360 & 0.017737 & 0.017377 & 0.017362 & 0.017746 & 0.017372 & 0.017742 & 0.017770 \\
3 & 0.990000 & 0.019456 & 0.019838 & 0.019474 & 0.019458 & 0.019847 & 0.019469 & 0.019843 & 0.019871 \\
4 & 0.995000 & 0.021705 & 0.022090 & 0.021724 & 0.021707 & 0.022099 & 0.021719 & 0.022093 & 0.022122 \\
5 & 1.000000 & 0.024107 & 0.024492 & 0.024126 & 0.024109 & 0.024501 & 0.024121 & 0.024495 & 0.024523 \\
6 & 1.005000 & 0.026661 & 0.027044 & 0.026681 & 0.026663 & 0.027053 & 0.026676 & 0.027046 & 0.027074 \\
7 & 1.010000 & 0.029365 & 0.029745 & 0.029385 & 0.029367 & 0.029753 & 0.029381 & 0.029745 & 0.029773 \\
8 & 1.015000 & 0.032217 & 0.032591 & 0.032238 & 0.032219 & 0.032600 & 0.032233 & 0.032591 & 0.032617 \\
9 & 1.020000 & 0.035214 & 0.035580 & 0.035235 & 0.035216 & 0.035589 & 0.035231 & 0.035579 & 0.035605 \\
\hline
\end{tabular}
\caption{Prix unitaire de l'option de vente, Méthode de Epps}
\end{table}\end{Schunk}
\section{Méthode de Carr-Madan}
\begin{Schunk}
\begin{Sinput}
> f_callCarrMadan <- function(param,strikeprice,char.fn,eval.time,expiry.time,rate,alpha,...)
+ {
+ callCarrMadan(strikeprice,char.fn,param,eval.time,expiry.time,rate,alpha,...)
+ }
> prix_call_CarrMadan <- as.data.frame(cbind(strike/stock0,sapply(l.pts.estim.ns.rn,f_callCarrMadan,strike/stock0,cfLM,0,T,rfrate,alpha)))
\end{Sinput}
\end{Schunk}
\begin{Schunk}
\begin{Sinput}
> xtable(prix_call_CarrMadan,caption="Prix unitaire de l'option d'achat, Méthode de Carr-Madan",digits=6)
\end{Sinput}
% latex table generated in R 3.1.0 by xtable 1.7-3 package
% Tue May 27 23:05:26 2014
\begin{table}[ht]
\centering
\begin{tabular}{rrrrrrrrrr}
\hline
& V1 & pt.optim1 & pt.optim2 & pt.optim3 & pt.optim4 & pt.optim5 & pt.optim6 & pt.optim7 & pt.optim8 \\
\hline
1 & 0.980000 & 0.044899 & 0.045144 & 0.044912 & 0.044900 & 0.045150 & 0.044909 & 0.045145 & 0.045163 \\
2 & 0.985000 & 0.041847 & 0.042096 & 0.041860 & 0.041848 & 0.042102 & 0.041857 & 0.042096 & 0.042114 \\
3 & 0.990000 & 0.038895 & 0.039148 & 0.038909 & 0.038896 & 0.039153 & 0.038906 & 0.039147 & 0.039165 \\
4 & 0.995000 & 0.036045 & 0.036300 & 0.036059 & 0.036046 & 0.036306 & 0.036056 & 0.036299 & 0.036317 \\
5 & 1.000000 & 0.033297 & 0.033555 & 0.033312 & 0.033298 & 0.033560 & 0.033309 & 0.033553 & 0.033571 \\
6 & 1.005000 & 0.030653 & 0.030912 & 0.030668 & 0.030654 & 0.030918 & 0.030665 & 0.030910 & 0.030928 \\
7 & 1.010000 & 0.028114 & 0.028375 & 0.028130 & 0.028115 & 0.028381 & 0.028126 & 0.028372 & 0.028390 \\
8 & 1.015000 & 0.025681 & 0.025943 & 0.025697 & 0.025682 & 0.025949 & 0.025694 & 0.025940 & 0.025958 \\
9 & 1.020000 & 0.023356 & 0.023618 & 0.023373 & 0.023357 & 0.023624 & 0.023369 & 0.023615 & 0.023633 \\
\hline
\end{tabular}
\caption{Prix unitaire de l'option d'achat, Méthode de Carr-Madan}
\end{table}\end{Schunk}