37 lines
779 B
Text
37 lines
779 B
Text
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\name{putEpps}
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\alias{putEpps}
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\title{European put option pricing using characteristic function}
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\usage{
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putEpps(char.fn, strikeprice, eval.time, expiry.time, rate, ...,
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int.bounds = c(-Inf, Inf))
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}
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\arguments{
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\item{char.fn}{Characteristic function of the price level
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at expiry time}
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\item{strikeprice}{Strike price, relative to a unit stock
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price}
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\item{eval.time}{Evaluation time}
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\item{expiry.time}{Expiry time}
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\item{rate}{Continuously compounded interest rate (force
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of interest)}
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\item{...}{Parameters of the characteristic function}
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\item{int.bounds}{Integration bounds for the integrate()
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method used. Defaults to infinite bounds.}
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}
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\value{
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European put option price
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}
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\description{
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As seen in Epps (2009)
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}
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\author{
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Francois Pelletier
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}
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