[R-SIG-Finance] fOptions and RQuantlib give different vanillaoption premiums

[Enrico Schumann]

the cost-of-carry b in fOptions/Haug's book is not the same as the dividend
yield. try with a dividend yield of 0.08 in RQuantLib.

regards,
enrico



> -----Ursprüngliche Nachricht-----
> Von: r-sig-finance-bounces at r-project.org 
> [mailto:r-sig-finance-bounces at r-project.org] Im Auftrag von 
> Vladimir Vladimirov
> Gesendet: Mittwoch, 16. März 2011 11:17
> An: r-sig-finance at r-project.org
> Betreff: [R-SIG-Finance] fOptions and RQuantlib give 
> different vanillaoption premiums
> 
> Dear all,
> 
> I was wondering if someone has had similar experience with 
> plain vanilla European option pricing. I try to compare 
> results using both package fOptions and RQuantLib for a plain 
> vanilla European option. I use the example in Haug's Option 
> book given in his intro chapter, it's also shown in the 
> fOptions package. So fOption gives me the correct answer, but 
> the EuropeanOption is off by a factor of three and 
> correspondingly the greeks are off (see below). The 
> interesting thing is that the wolfram alpha call option 
> valuation gives me the same result as RQuantlib (i.e. not correct)
> 
> http://www.wolframalpha.com/input/?i=call+option
> 
> I've tried this with other currency options and Bloomberg and 
> Superderivatives give me option premiums in line with what I 
> get from fOptions, don't understand how could I be getting 
> different results from RQuantLib and Wolfram Alpha. These are 
> closed-form solutions for plain vanilla, how come there be so 
> much discrepancy in the results.
> What am I missing?
> 
> Thank you in advance for the help.
> 
> -Vlad
> 
> 
> library(fOptions)
> library(RQuantLib)
> 
> > EuropeanOption(type="call", underlying=1.56, strike=1.6, 
> > dividendYield=0.06-0.08, riskFreeRate=0.06, maturity=1/2, 
> > volatility=0.12)
> Concise summary of valuation for EuropeanOption
>   value   delta   gamma    vega   theta     rho  divRho
>  0.0652  0.5912  2.9743  0.4343 -0.1220  0.4285 -0.4611
> 
> > GBSCharacteristics(TypeFlag = "c", S = 1.5600, X = 1.6000,  Time = 
> > 1/2, r = 0.06, b = 0.06-0.08, sigma = 0.12)
> $premium
> [1] 0.02909931
> $delta
> [1] 0.3403860
> $theta
> [1] -0.03494785
> $vega
> [1] 0.3942821
> $rho
> [1] 0.2509514
> $lambda
> [1] 18.24793
> $gamma
> [1] 2.700266
> 
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