Introduction
We provide functions for option pricing, option hedging, and portfolio selection.
Package is provided by Jussi Klemelä
Installation instructions
Download the file finatool.R and then issue the command
> source("finatool.R")
in the R console.Contents
Functions for option hedging and pricing:
- bs: calculates the Black-Scholes price for an European call or put option
- bs.delta: calculates the delta of Black-Scholes hedging for an European call or put option
- bs.implied: calculates the Black-Scholes implied volatility given the current price of an European call or put option
- bs.binomial: calculates the Black-Scholes price for an European call or put option using the Cox-Ross-Rubinstein binomial formula
- bs.recursive: calculates the Black-Scholes price for an European put option using the Cox-Ross-Rubinstein recursive valuation formula
- bs.recursive.amerput: calculates the Black-Scholes price for an American put option using the Cox-Ross-Rubinstein recursive valuation formula
- hedging: calculates an optimal delta for an European call option, using numerical optimization
- hedging.data: calculates data which is used for caluculating the hedging parameter
- mc.hedge: calculates the price and the delta which are optimal in the minimum variance sense for a single period hedging of an European call or put option, using Monte Carlo integration
Functions for portfolio management:
- sharpe.confidence: calculates a confidence band for Sharpe ratio