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ajout Heston Normal

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francois 2014-07-06 22:58:07 -04:00
parent 2dc91e644c
commit 99f62ae466
2 changed files with 10 additions and 3 deletions
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1
.project
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@ -14,5 +14,6 @@
<natures>
<nature>de.walware.statet.base.StatetNature</nature>
<nature>de.walware.statet.r.RNature</nature>
<nature>de.walware.statet.r.RPkgNature</nature>
</natures>
</projectDescription>

12
R/putHeston.R
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@ -16,10 +16,16 @@
#' @return European put option price
#' @export putHeston
#' @author Francois Pelletier
putHeston <- function(strikeprice,dist.fn,ess.dist.fn,eval.time,expiry.time,rate,...)
putHeston <- function(param,strikeprice,dist.fn,eval.time,expiry.time,rate)
{
exp(-rate*(expiry.time-eval.time)) * strikeprice*dist.fn(log(strikeprice),...) -
ess.dist.fn(log(strikeprice),...)
exp(-rate*(expiry.time-eval.time)) * strikeprice*dist.fn(log(strikeprice),param,hEsscher=0) -
dist.fn(log(strikeprice),param,hEsscher=1)
}
putHestonSaddle <- function(param,strikeprice,dist.fn1,dist.fn2,eval.time,expiry.time,rate)
{
exp(-rate*(expiry.time-eval.time)) * strikeprice*dist.fn1(log(strikeprice),param) -
dist.fn2(log(strikeprice),param)
}