[R-SIG-Finance] different results with fExoticOptions

[SNV Krishna]

Hi Arun,

Thanks for this and the answer matches. But this led to another question;
which is the right way to input the value for b. I saw on the help file and
example given there suggests that the entry as b = 0.01 and not b =
(0.5-01).

====
Example
## Levy Asian Approximation:   
   LevyAsianApproxOption(TypeFlag = "c", S = 100, SA = 100, X = 105, 
     Time = 0.75, time = 0.50, r = 0.10, b = 0.05, sigma = 0.15)
===============

Can any one or the author suggest the right way. 

Thanks and best regards,

S.N.V. Krishna


-----Original Message-----
From: r-sig-finance-bounces at r-project.org
[mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Arun.stat
Sent: Thursday, March 15, 2012 7:14 PM
To: r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] different results with fExoticOptions

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
_____________________________________________________


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