Computes option price with modified Corrado-Su model.

Implementation of modified Corrado-Su formula for option pricing.

Usage

csmprice(type, spot, strike, time, rate, yield, sigma, mu3, mu4)

Arguments

type: 'call' for call option, any other value for put.
spot: current stock price.
strike: the strike price.
time: time to option expiration in years.
rate: the risk-free interest rate.
yield: the dividends that are expected to be paid.
sigma: volatility of the stock price.
mu3: skewness.
mu4: kurtosis.

Value

Vector with option prices.

Recycle rule

These arguments handle the recycle rule so vectors can be provided and once those vectors differs in length the recycle rule is applied.

Examples

spot <- 25
sigma <- 0.2
time <- 0.5
strike <- 26
rate <- 0.12
yield <- 0
skewness <- 1
kurtosis <- 4
csmprice(c("call", "put"), spot, strike, time, rate, yield, sigma, 0, 3) ==
  bsmprice(c("call", "put"), spot, strike, time, rate, yield, sigma)
#> [1]  TRUE FALSE
csmprice(
  "put", spot, strike, time, rate, 0:100 / 100, sigma, skewness, kurtosis
)
#>   [1] 1.112048 1.172468 1.234637 1.298520 1.364080 1.431277 1.500065 1.570396
#>   [9] 1.642219 1.715480 1.790123 1.866088 1.943316 2.021744 2.101308 2.181944
#>  [17] 2.263585 2.346168 2.429626 2.513893 2.598905 2.684597 2.770908 2.857774
#>  [25] 2.945136 3.032937 3.121119 3.209630 3.298416 3.387430 3.476624 3.565956
#>  [33] 3.655383 3.744867 3.834374 3.923869 4.013324 4.102710 4.192004 4.281183
#>  [41] 4.370227 4.459121 4.547848 4.636397 4.724756 4.812917 4.900873 4.988618
#>  [49] 5.076148 5.163461 5.250555 5.337429 5.424083 5.510519 5.596737 5.682740
#>  [57] 5.768530 5.854108 5.939478 6.024642 6.109603 6.194361 6.278921 6.363282
#>  [65] 6.447447 6.531416 6.615191 6.698770 6.782155 6.865344 6.948336 7.031130
#>  [73] 7.113724 7.196114 7.278299 7.360276 7.442040 7.523588 7.604917 7.686021
#>  [81] 7.766896 7.847538 7.927941 8.008102 8.088014 8.167673 8.247074 8.326212
#>  [89] 8.405082 8.483678 8.561998 8.640034 8.717784 8.795243 8.872407 8.949271
#>  [97] 9.025832 9.102086 9.178030 9.253661 9.328976