27 lines
976 B
R
27 lines
976 B
R
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# European put option pricing using Heston method
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#
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# Author: Francois Pelletier
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#
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# LGPL 3.0
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###############################################################################
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#' European put option pricing using Heston method
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#' @param strikeprice Strike price, relative to a unit stock price
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#' @param dist.fn Distribution function for the risk neutral log-price process
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#' @param ess.dist.fn Esscher transformed (with h=1) distribution function for the risk neutral log-price process
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#' @param eval.time Evaluation time
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#' @param expiry.time Expiry time
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#' @param rate Continuously compounded interest rate (force of interest)
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#' @param ... Parameters of the distribution function dist.fn
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#' @return European put option price
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#'
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#' @author Francois Pelletier
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putHeston <- function(strikeprice,dist.fn,ess.dist.fn,eval.time,expiry.time,rate,...)
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{
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exp(-rate*(expiry.time-eval.time)) * strikeprice*dist.fn(log(strikeprice),...) -
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ess.dist.fn(log(strikeprice),...)
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}
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