QFRM (version 1.0.1)

GapBS: Gap option valuation via Black-Scholes (BS) model

Description

S3 object constructor for price of gap option using BS model

Usage

GapBS(o = OptPx(Opt(Style = "Gap", Right = "Put", S0 = 5e+05, K = 4e+05, ttm = 1, ContrSize = 1, SName = "Insurance coverage example #26.1, p.601, OFOD, J.C.Hull, 9ed."), r = 0.05, q  = 0, vol = 0.2), K2 = 350000)

Arguments

o

An object of class OptPx

K2

Strike price that determine if the option pays off.

Value

An original OptPx object with PxBS field as the price of the option and user-supplied K2 parameter

References

Hull, John C., Options, Futures and Other Derivatives, 9ed, 2014. Prentice Hall. ISBN 978-0-13-345631-8. http://www.mathworks.com/help/fininst/gapbybls.html

Examples

#See J.C.Hull, OFOD'2014, 9-ed, Example 26.1, p.601
(o <- GapBS())$PxBS

GapBS(o=OptPx(Opt(Style='Gap',Right='Put',K=57)))

#See http://www.mathworks.com/help/fininst/gapbybls.html
o = Opt(Style='Gap',Right='Put',K=57,ttm=0.5,S0=52)
o = GapBS(OptPx(o,vol=0.2,r=0.09),K2=50)

o = Opt(Style='Gap',Right='Put',K=57,ttm=0.5,S0=50)
(o <- GapBS(OptPx(o,vol=0.2,r=0.09),K2=50))$PxBS