control_variate_pairs

callput

<p>Time from <code>0</code> until expiration</p>

time

<p>Form a list twice as long as the longest of the arguments
<code>callput</code>, <code>K</code>, <code>time</code> whose
first half consists of AmericanOption objects and
second half consists of EuropeanOption objects
having the same exercise specification</p>

Algorithms to price American and European
equity options, convertible bonds and a
variety of other financial derivatives. It uses an
extension of the usual Black-Scholes model in which
jump to default may occur at a probability specified
by a power-law link between stock price and hazard
rate as found in the paper by Takahashi, Kobayashi,
and Nakagawa (2001) <doi:10.3905/jfi.2001.319302>.  We
use ideas and techniques from Andersen and
Buffum (2002) <doi:10.2139/ssrn.355308> and
Linetsky (2006) <doi:10.1111/j.1467-9965.2006.00271.x>.

control_variate_pairs: Form instrument objects for vanilla options

Description

Usage

Arguments

See Also