[R-SIG-Finance] different results with fExoticOptions

[Arun.stat]

Here, it is how you should use these formulas:

"The other calculators gave a value of 51.61"

> LevyAsianApproxOption('c', S = 1120, SA = 1120, X = 1140, Time = 1, time = 
+ 1,r = .05, b = (0.05-.01), sigma = .2) 

Title:
 Levy Asian Approximated Option 

Call:
 LevyAsianApproxOption(TypeFlag = "c", S = 1120, SA = 1120, X = 1140, 
     Time = 1, time = 1, r = 0.05, b = (0.05 - 0.01), sigma = 0.2)

Parameters:
          Value:
 TypeFlag c     
 S        1120  
 SA       1120  
 X        1140  
 Time     1     
 time     1     
 r        0.05  
 b        0.04  
 sigma    0.2   

Option Price:
 51.61407 

Description:
 Thu Mar 15 16:42:38 2012 


HTH,

Thanks and regards,

_____________________________________________________

Arun Kumar Saha, FRM
QUANTITATIVE RISK AND HEDGE CONSULTING SPECIALIST
Visit me at: http://in.linkedin.com/in/ArunFRM
_____________________________________________________


--
View this message in context: http://r.789695.n4.nabble.com/different-results-with-fExoticOptions-tp4474445p4474571.html
Sent from the Rmetrics mailing list archive at Nabble.com.