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Calculate Bachelier model option price

Source: R/bachelier_price.R
BachelierPrice.Rd

Calculate Bachelier model option price

Usage

BachelierPrice(
  strike = forward,
  spot,
  texp = 1,
  sigma,
  intr = 0,
  divr = 0,
  cp = 1L,
  forward = spot * exp(-divr * texp)/df,
  df = exp(-intr * texp)
)

Arguments

strike

(vector of) strike price

spot

(vector of) spot price

texp

(vector of) time to expiry

sigma

(vector of) volatility

intr

interest rate (domestic interest rate)

divr

dividend/convenience yield (foreign interest rate)

cp

call/put sign. 1 for call, -1 for put.

forward

forward price. If given, forward overrides spot

df

discount factor. If given, df overrides intr

Value

option price

References

Choi, J., Kim, K., & Kwak, M. (2009). Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion. Applied Mathematical Finance, 16(3), 261-268. doi:10.1080/13504860802583436

See also

BachelierImpvol

Examples

spot <- 100
strike <- seq(80,125,5)
texp <- 1.2
sigma <- 20
intr <- 0.05
FER::BachelierPrice(strike, spot, texp, sigma, intr=intr)
#>  [1] 25.828047 21.780194 18.000897 14.547308 11.468864  8.800759  6.558904
#>  [8]  4.737544  3.310126  2.233201