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# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2007, Diethelm Wuertz, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: DESCRIPTION:
# RollGeskeWhaleyOption Roll-Geske-Whaley Calls on Dividend Paying Stocks
# BAWAmericanApproxOption Barone-Adesi and Whaley Approximation
# BSAmericanApproxOption Bjerksund and Stensland Approximation
################################################################################
test.RollGeskeWhaleyOption =
function()
{
# RollGeskeWhaleyOption
# Roll-Geske-Whaley Calls on Dividend Paying Stocks
# Arguments:
# RollGeskeWhaleyOption(S, X, time1, Time2, r, D, sigma,
# title = NULL, description = NULL)
# Roll-Geske-Whaley American Calls on Dividend Paying
# Stocks [Haug 1.4.1]
RollGeskeWhaleyOption(S = 80, X = 82, time1 = 1/4,
Time2 = 1/3, r = 0.06, D = 4, sigma = 0.30)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.BAWAmericanApproxOption =
function()
{
# BAWAmericanApproxOption
# Barone-Adesi and Whaley Approximation
# Arguments:
# BAWAmericanApproxOption(TypeFlag = c("c", "p"), S, X, Time, r, b,
# sigma, title = NULL, description = NULL)
# Barone-Adesi and Whaley Approximation for American
# Options [Haug 1.4.2] vs. Black76 Option on Futures:
BAWAmericanApproxOption(TypeFlag = "p", S = 100,
X = 100, Time = 0.5, r = 0.10, b = 0, sigma = 0.25)
Black76Option(TypeFlag = "c", FT = 100, X = 100,
Time = 0.5, r = 0.10, sigma = 0.25)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.BSAmericanApproxOption =
function()
{
# BSAmericanApproxOption
# Bjerksund and Stensland Approximation
# Arguments:
# BSAmericanApproxOption(TypeFlag = c("c", "p"), S, X, Time, r, b,
# sigma, title = NULL, description = NULL)
# Bjerksund and Stensland Approximation for American Options:
BSAmericanApproxOption(TypeFlag = "c", S = 42, X = 40,
Time = 0.75, r = 0.04, b = 0.04-0.08, sigma = 0.35)
# Return Value:
return()
}
################################################################################
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