pricing-options(schwartz97)
pricing-options()所属R语言包：schwartz97
Schwartz two-factor Model: European Option Prices
施瓦茨双因素模型：欧式期权价格
译者：生物统计家园网 机器人LoveR
描述----------Description----------
Compute arbitrage-free prices of European call and put options on commodity futures contracts.
计算的欧式看涨期权和认沽期权商品期货合约的无套利价格。
用法----------Usage----------
## S4 method for signature 'ANY,ANY,ANY,ANY,numeric'
priceoption(type = c("call", "put"), time = 0.5, Time = 1, K = 40,
g0 = 50, sigmaS = 0.3, kappa = 1, sigmaE = 0.5,
rho = 0.75, r = 0.03)
## S4 method for signature 'ANY,ANY,ANY,ANY,schwartz2f'
priceoption(type = c("call", "put"),
time = 0.5, Time = 1, K = 40,
g0, r = 0.03, lambda = 0, alphaT = NULL)
## S4 method for signature 'ANY,ANY,ANY,ANY,schwartz2f.fit'
priceoption(type = c("call", "put"),
time = 0.5, Time = 1, K = 40, g0)
参数----------Arguments----------
参数：type
Either a European "call" or a "put" option on a futures contract.
无论是欧洲的"call"或"put"选项的期货合约。
参数：time
Exercise time of the option.
锻炼时间的选项。
参数：Time
Maturity date of the underlying futures (see Details).
相关期货的到期日（见详情）。
参数：K
Strike price.
行使价。
参数：g0
The current futures price or an object inheriting from class schwartz2f.
目前的期货价格或对象继承类schwartz2f。
参数：sigmaS
Diffusion parameter of the spot price-process.
现货价格过程的扩散参数。
参数：kappa
Speed of mean-reversion of the convenience-yield process.
速度的均值回归的便利收益的过程。
参数：sigmaE
Diffusion parameter of the convenience-yield process.
扩散参数的便利收益的过程。
参数：rho
Correlation coefficient between the Brownian motion driving the spot-price and the convenience-yield process.
之间的相关系数的布朗运动驱动的现货价格和便利收益的过程。
参数：r
Instantaneous risk-free interest rate.
瞬时无风险利率。
参数：lambda
Market price of convenience yield risk (see Details).
便利收益风险的市场价格（见详情）。
参数：alphaT
Mean-level of the convenience yield process with respect to the equivalent martingale measure (see Details).
便利收益过程中的等价鞅测度的平均水平（见详情）。
Details
详细信息----------Details----------
The price of an option on the spot commodity is obtained by setting time == Time. This is because of the convergence of the futures price towards the spot price at maturity. In general the option expires before the futures contract (time < Time).<br>
选项现货商品的价格是通过设置time == Time。这是因为于到期日的期货价格对现货价格的收敛。在一般的期权到期之前的期货合约（time < Time“）。<BR>
If g0 is either of class schwartz2f or class schwartz2f.fit the futures price g0 is computed first and then plugged into the pricing function with signature ANY,ANY,ANY,ANY,numeric.<br>
g0如果是类schwartz2f或类schwartz2f.fit期货价格g0计算，然后再插入的定价功能的签名ANY,ANY,ANY,ANY,numeric。<BR >
The model and its parameters are described in the Details section of the schwartz2f-class documentation and in the package vignette Technical Document.
该模型及其参数的描述，在“详细信息”部分的schwartz2f级的文件和技术文件包中的小插曲。
值----------Value----------
A numeric containing the option prices.
Anumeric包含的期权价格。
注意----------Note----------
Since the two-factor model assumes a constant interest rate, futures and forwards always have the same value and therefore also any derivative of futures or forwards.
由于两因素模型假设固定利率，期货和远期合约，总是有相同的值，因此也衍生工具的期货或远期。
（作者）----------Author(s)----------
Philipp Erb, David Luethi, Juri Hinz
参考文献----------References----------
Valuation and Hedging by Eduardo S. Schwartz <br> Journal of Finance 52, 1997, 923-973 <br>
Structures of Convenience Yields and Interest Rates by Kristian R. Miltersen and Eduardo S. Schwartz <br> Journal of Financial and Quantitative Analysis 33, 1998, 33-59 <br>
Convenience Yields, Interest Rates, and Jump Diffusions in the Spot by Jimmy E. Hilliard and Jorge Reis <br> Journal of Financial and Quantitative Analysis 33, 1998, 61-86
参见----------See Also----------
pricefutures to price futures, d/p/q/rfutures to work with futures, schwartz2f-constructor, fit.schwartz2f for parameter estimation, futures-data.
pricefutures价格期货，d/p/q/rfutures与期货，schwartz2f构造，fit.schwartz2f参数估计，futures-data的。
实例----------Examples----------
## The option expires in 0.5 years and the futures contract in 1 year.[＃购股权之有效期届满0.5年，在1年的期货合约。]
priceoption(type = "call", time = 0.5, Time = 1, K = 40, g0 = 50)
## The price of a European put option on the spot which expires in 2.5[＃一个欧式看跌期权的价格当场到期的2.5]
## years.[＃年。]
priceoption(type = "put", time = 2.5, Time = 2.5, K = 900, lambda = 0.02,
g0 = schwartz2f(s0 = 1000))
转载请注明:出自 生物统计家园网(http://www.biostatistic.net)。
注：
注1：为了方便大家学习，本文档为生物统计家园网机器人LoveR翻译而成，仅供个人R语言学习参考使用，生物统计家园保留版权。
注2：由于是机器人自动翻译，难免有不准确之处，使用时仔细对照中、英文内容进行反复理解，可以帮助R语言的学习。
注3：如遇到不准确之处，请在本贴的后面进行回帖，我们会逐渐进行修订。
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发表于 2012-9-29 22:54:25
