## model -
# Define the Model Parameters for a Heston-Nandi Option:
model = list(lambda = -0.5, omega = 2.3e-6, alpha = 2.9e-6,
beta = 0.85, gamma = 184.25)
S = X = 100
Time.inDays = 252
r.daily = 0.05/Time.inDays
sigma.daily = sqrt((model$omega + model$alpha) /
(1 - model$beta - model$alpha * model$gamma^2))
data.frame(S, X, r.daily, sigma.daily)
## HNGOption -
# Compute HNG Call-Put and compare with GBS Call-Put:
HNG = GBS = Diff = NULL
for (TypeFlag in c("c", "p")) {
HNG = c(HNG, HNGOption(TypeFlag, model = model, S = S, X = X,
Time.inDays = Time.inDays, r.daily = r.daily)$price )
GBS = c(GBS, GBSOption(TypeFlag, S = S, X = X, Time = Time.inDays,
r = r.daily, b = r.daily, sigma = sigma.daily)@price) }
Options = cbind(HNG, GBS, Diff = round(100*(HNG-GBS)/GBS, digits=2))
row.names(Options) <- c("Call", "Put")
data.frame(Options)
## HNGGreeks -
# Compute HNG Greeks and compare with GBS Greeks:
Selection = c("Delta", "Gamma")
HNG = GBS = NULL
for (i in 1:2){
HNG = c(HNG, HNGGreeks(Selection[i], TypeFlag = "c", model = model,
S = 100, X = 100, Time = Time.inDays, r = r.daily) )
GBS = c(GBS, GBSGreeks(Selection[i], TypeFlag = "c", S = 100, X = 100,
Time = Time.inDays, r = r.daily, b = r.daily, sigma = sigma.daily) ) }
Greeks = cbind(HNG, GBS, Diff = round(100*(HNG-GBS)/GBS, digits = 2))
row.names(Greeks) <- Selection
data.frame(Greeks)
