38 lines
809 B
Text
38 lines
809 B
Text
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\name{putHeston}
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\alias{putHeston}
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\title{European put option pricing using Heston method}
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\usage{
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putHeston(strikeprice, dist.fn, ess.dist.fn, eval.time, expiry.time, rate, ...)
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}
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\arguments{
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\item{strikeprice}{Strike price, relative to a unit stock
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price}
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\item{dist.fn}{Distribution function for the risk neutral
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log-price process}
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\item{ess.dist.fn}{Esscher transformed (with h=1)
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distribution function for the risk neutral log-price
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process}
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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 distribution function
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dist.fn}
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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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European put option pricing using Heston method
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}
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\author{
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Francois Pelletier
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}
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