Warrant: Warrant valuation using pricing by duplication
Description
convenience method for standard Warrant pricing
Usage
Warrant(type, S, X, Time, r, r_d, sigma, ratio = 1)
Arguments
type
"call" or "put"
S
the asset price, a numeric value.
X
the exercise price, a numeric value.
Time
time to maturity measured in years
r
the annualized rate of interest, a numeric value;
e.g. 0.25 means 25% pa.
r_d
the annualized dividend yield, a numeric value;
e.g. 0.25 means 25% pa.
sigma
the annualized volatility of the underlying security,
a numeric value; e.g. 0.3 means 30% volatility pa.
ratio
ratio, number of underlyings one certificate refers to, a numeric value;
e.g. 0.25 means 4 certificates refer to 1 share of the underlying asset
Value
the price (scalar or vector) of the Warrant
Details
This is simply a convenience wrapper function for the GBSOption method
which can also scale with a ratio.
Classification according to the SVSP Swiss Derivative Map 2008: Warrants (110)
Classification according to the SVSP Swiss Derivative Map 2010: Warrants (2100)