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

[Thomas Schwiertz]

Hello Vladimir,
some input data are different!
Try:

> EuropeanOption(type="call", underlying=49, strike=50, dividendYield=0.01, riskFreeRate=0.0009, maturity=1/4, volatility=0.2)

Concise summary of valuation for EuropeanOption 
  value   delta   gamma    vega   theta     rho  divRho 
 1.4653  0.4296  0.0800  9.6019 -3.6479  4.8957 -5.2620

Then the results are similar...

Regards,
Thomas



-----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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