[R-SIG-Finance] fOptions and RQuantlib give different vanillaoption premiums
Enrico Schumann
enricoschumann at yahoo.de
Wed Mar 16 12:26:51 CET 2011
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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