public static void RunEurOptionPricing()
{
double[] ssviParams = new double[] { Math.Sqrt(0.1), 1, 0.7, 0.2, 0.3 };
double r = 0.025;
double S0 = 100;
double T = 1;
int N = 10000;
int M = 128;
double K = 102;
double k = Math.Log(K * Math.Exp(-r * T) / S0);
MonteCarloPricingLocalVol pricer = new MonteCarloPricingLocalVol(r, N, M, ssviParams);
double McPriceCall = pricer.CalculateEurPutOptionPrice(S0, K, T);
Ssvi SsviSurface = new Ssvi(ssviParams[0], ssviParams[1], ssviParams[2], ssviParams[3], ssviParams[4]);
double sigmaBs = Math.Sqrt(SsviSurface.OmegaSsvi(T, k) / T);
double BsPriceCall = BlackScholesFormula.CalculatePutOptionPrice(sigmaBs, 100, k, r, T);
Console.WriteLine("Call price: MC: £{0}, BS £{1}", McPriceCall, BsPriceCall);
}
public double CalcMeanSquareErrorBetweenOmegaAndMarketNonATM(Ssvi m)
{
double meanSqErr = 0;
int nElements = 0;
foreach (OptionMarketData option in marketOptionsList)
{
double maturity = option.maturity;
string type = option.type;
double strike = option.strike;
double k = Math.Log(strike * Math.Exp(-r0) / S0);
double omega = m.OmegaSsvi(maturity, k);
double bsImpliedVolatility;
if (option.type == "Call" || option.type == "call" || option.type == "C" || option.type == "c")
{
bsImpliedVolatility = BlackScholesImpliedVolatility.CalculateImpliedVolCall(option.marketPrice, S0, k, r0, maturity);
}
else if (option.type == "Put" || option.type == "put" || option.type == "P" || option.type == "p")
{
bsImpliedVolatility = BlackScholesImpliedVolatility.CalculateImpliedVolPut(option.marketPrice, S0, k, r0, maturity);
}
else
{
throw new CalibrationFailedException("Option type in marketOptionsList was not Call, call, C, c, Put, put, P or p");
}
double difference = omega - bsImpliedVolatility * bsImpliedVolatility * maturity;
meanSqErr += difference * difference;
nElements++;
}
if (nElements > 0)
{
return(meanSqErr / nElements);
}
else
{
throw new ArgumentNullException("There is no market data to use for error calculation.");
}
}