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ajout Heston Normal

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francois 2014-07-06 22:57:41 -04:00
parent 4816110870
commit 8afea2d4cf
2 changed files with 34 additions and 2 deletions
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6
.project
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@ -10,9 +10,15 @@
<arguments>
</arguments>
</buildCommand>
<buildCommand>
<name>de.walware.docmlet.tex.builders.Tex</name>
<arguments>
</arguments>
</buildCommand>
</buildSpec>
<natures>
<nature>de.walware.statet.base.StatetNature</nature>
<nature>de.walware.statet.r.RNature</nature>
<nature>de.walware.docmlet.tex.natures.Tex</nature>
</natures>
</projectDescription>

30
GAL-Buckle95.Rnw
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@ -23,7 +23,7 @@
\section{Chargement des paquets}
<<>>=
setwd("~/maitrise/GAL-Buckle95/")
setwd("/home/francois/git/franc00018/GAL-Buckle95")
library(actuar)
library(MASS)
library(xtable)
@ -401,7 +401,7 @@ xtable(pts.estim.ns.rn,caption="Paramètres neutres au risque",digits=4)
xtable(prix_put_Epps,caption="Prix unitaire de l'option de vente, Méthode de Epps",digits=6)
@
\section{Méthode de Carr-Madan}
\subsection{Méthode de Carr-Madan}
<<>>=
f_callCarrMadan <- function(param,strikeprice,char.fn,eval.time,expiry.time,rate,alpha,...)
{
@ -414,6 +414,32 @@ xtable(pts.estim.ns.rn,caption="Paramètres neutres au risque",digits=4)
xtable(prix_call_CarrMadan,caption="Prix unitaire de l'option d'achat, Méthode de Carr-Madan",digits=6)
@
\subsection{Méthode de Heston}
<<>>=
prix_put_Heston <- as.data.frame(cbind(strike/stock0,
sapply(l.pts.estim.ns.rn,putHeston,strike/stock0,pnormapproxEsscherLM,0,T,rfrate)))
@
<<results=tex>>=
xtable(prix_put_Heston,caption="Prix unitaire de l'option de vente, Méthode de Heston",digits=6)
@
\subsection{Méthode de Heston avec point de selle}
%<<>>=
% prix_put_Heston_Saddle <- as.data.frame(cbind(strike/stock0,
% sapply(l.pts.estim.ns.rn,putHestonSaddle,strike/stock0,psaddleapproxGAL,psaddleapproxEsscherGAL,0,T,rfrate)))
%
%@
%
%<<results=tex>>=
% xtable(prix_put_Heston_Saddle,caption="Prix unitaire de l'option de vente, Méthode de Heston",digits=6)
%@