ajout Heston Normal
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2 changed files with 34 additions and 2 deletions
6
.project
6
.project
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@ -10,9 +10,15 @@
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<arguments>
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</arguments>
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</buildCommand>
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<buildCommand>
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<name>de.walware.docmlet.tex.builders.Tex</name>
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<arguments>
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</arguments>
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</buildCommand>
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</buildSpec>
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<natures>
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<nature>de.walware.statet.base.StatetNature</nature>
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<nature>de.walware.statet.r.RNature</nature>
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<nature>de.walware.docmlet.tex.natures.Tex</nature>
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</natures>
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</projectDescription>
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@ -23,7 +23,7 @@
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\section{Chargement des paquets}
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<<>>=
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setwd("~/maitrise/GAL-Buckle95/")
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setwd("/home/francois/git/franc00018/GAL-Buckle95")
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library(actuar)
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library(MASS)
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library(xtable)
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@ -401,7 +401,7 @@ xtable(pts.estim.ns.rn,caption="Paramètres neutres au risque",digits=4)
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xtable(prix_put_Epps,caption="Prix unitaire de l'option de vente, Méthode de Epps",digits=6)
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@
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\section{Méthode de Carr-Madan}
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\subsection{Méthode de Carr-Madan}
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<<>>=
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f_callCarrMadan <- function(param,strikeprice,char.fn,eval.time,expiry.time,rate,alpha,...)
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{
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@ -414,6 +414,32 @@ xtable(pts.estim.ns.rn,caption="Paramètres neutres au risque",digits=4)
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xtable(prix_call_CarrMadan,caption="Prix unitaire de l'option d'achat, Méthode de Carr-Madan",digits=6)
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@
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\subsection{Méthode de Heston}
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<<>>=
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prix_put_Heston <- as.data.frame(cbind(strike/stock0,
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sapply(l.pts.estim.ns.rn,putHeston,strike/stock0,pnormapproxEsscherLM,0,T,rfrate)))
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@
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<<results=tex>>=
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xtable(prix_put_Heston,caption="Prix unitaire de l'option de vente, Méthode de Heston",digits=6)
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@
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\subsection{Méthode de Heston avec point de selle}
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%<<>>=
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% prix_put_Heston_Saddle <- as.data.frame(cbind(strike/stock0,
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% sapply(l.pts.estim.ns.rn,putHestonSaddle,strike/stock0,psaddleapproxGAL,psaddleapproxEsscherGAL,0,T,rfrate)))
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%
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%@
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%
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%<<results=tex>>=
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% xtable(prix_put_Heston_Saddle,caption="Prix unitaire de l'option de vente, Méthode de Heston",digits=6)
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%@
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