5.121 pricing_option_cpp

Loadable Function: OptionVec = pricing_option_cpp(option_type, call_flag, S_vec, X_vec, T_vec, r_vec, sigma_vec, divrate_vec, n)

Compute the put or call value of different equity options.

This function should be called from Option class which handles all input and ouput data.

Input and output variables:

• option_type: Integer: Sets pricing engine (1=EU(BS),2=AM(CRR),3=ASIAN ARITHMETIC(MC))
• call_flag: Boolean: (true: call option, false: put option
• S_vec: Double: Spot prices (either scalar or vector of length m)
• X_vec: Double: Strike prices (either scalar or vector of length m)
• T_vec: Double: Time to maturity (days, act/365) (either scalar or vector of length m)
• r_vec: Double: riskfree rate (either scalar or vector of length m)
• sigma_vec: Double: volatility (annualized,act/365) (either scalar or vector of length m)
• divrate_vec: Double: dividend yield (cont,act/365) (either scalar or vector of length m)
• n: Integer: number of tree steps (AM) or number of MC scenarios (ASIAN)
• OptionVec: Double: OUTPUT: Option prices (columnn vector)

Example Call:

retvec = pricing_option_cpp(1,false,[10000;9000;11000],11000,365,0.01,[0.2;0.025;0.03],0.0)
retvec =
   1351.5596280726359
   1890.5481712408509
     83.4751762658461