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ajout Heston avec Saddlepoint

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This commit is contained in:
Francois Pelletier 2014-07-27 19:14:44 -04:00
parent 8afea2d4cf
commit cac5fc1ff9
1 changed files with 20 additions and 18 deletions
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38
GAL-Buckle95.Rnw
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@ -23,11 +23,10 @@
\section{Chargement des paquets}
<<>>=
setwd("/home/francois/git/franc00018/GAL-Buckle95")
setwd("/home/francois/git/GAL-Buckle95")
library(actuar)
library(MASS)
library(xtable)
library(parallel)
library(moments)
library(FourierStuff)
library(GeneralizedAsymmetricLaplace)
@ -362,15 +361,15 @@ pts.estim.ns <- apply(pts.estim,2,scaleGAL,type="mu",
#Taux sans risque
rfrate <- .05/365
#Échéance
T <- 30
Time_to_expiry <- 30
#Pas de discrétisation courbe des prix
pas <- 0.005
pas <- 1/300
#Prix initial
stock0 <- 299
#Prix d'exercice dans le cours (put)
strike1 <- stock0*seq(0.98,1,pas)
strike1 <- stock0*seq(0.90,1,pas)
#Prix d'exercice hors le cours (put)
strike2 <- stock0*seq(1+pas,1.02,pas)
strike2 <- stock0*seq(1+pas,1.10,pas)
#Prix d'exercice combinés
strike <- c(strike1,strike2)
#Damping parameter
@ -394,7 +393,7 @@ 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_put_Epps <- as.data.frame(cbind(strike/stock0,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,Time_to_expiry,rfrate)))
@
<<results=tex>>=
@ -407,7 +406,7 @@ xtable(pts.estim.ns.rn,caption="Paramètres neutres au risque",digits=4)
{
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)))
prix_call_CarrMadan <- as.data.frame(cbind(strike/stock0,sapply(l.pts.estim.ns.rn,f_callCarrMadan,strike/stock0,cfLM,0,Time_to_expiry,rfrate,alpha)))
@
<<results=tex>>=
@ -418,7 +417,7 @@ xtable(pts.estim.ns.rn,caption="Paramètres neutres au risque",digits=4)
<<>>=
prix_put_Heston <- as.data.frame(cbind(strike/stock0,
sapply(l.pts.estim.ns.rn,putHeston,strike/stock0,pnormapproxEsscherLM,0,T,rfrate)))
sapply(l.pts.estim.ns.rn,putHeston,strike/stock0,pnormapproxEsscherLM,0,Time_to_expiry,rfrate)))
@
<<results=tex>>=
@ -428,15 +427,18 @@ xtable(pts.estim.ns.rn,caption="Paramètres neutres au risque",digits=4)
\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)
%@
<<>>=
prix_put_Heston_Saddle <- as.data.frame(cbind(strike/stock0,
sapply(l.pts.estim.ns.rn,putHestonSaddle,strike/stock0,psaddleapproxGAL,psaddleapproxEsscherGAL,0,Time_to_expiry,rfrate)
)
)
@
<<results=tex>>=
xtable(prix_put_Heston_Saddle,caption="Prix unitaire de l'option de vente, Méthode de Heston avec point de selle",digits=6)
@