/// <summary>
/// Price a European option in the Heston model using the Monte-Carlo method. Accuracy will depend on number of time steps and samples
/// </summary>
/// <param name="parameters">Object implementing IHestonModelParameters interface, containing model parameters.</param>
/// <param name="europeanOption">Object implementing IEuropeanOption interface, containing the option parameters.</param>
/// <param name="monteCarloSimulationSettings">An object implementing IMonteCarloSettings object and containing simulation settings.</param>
/// <returns>Option price</returns>
public static double HestonEuropeanOptionPriceMC(IHestonModelParameters parameters,
IEuropeanOption europeanOption,
IMonteCarloSettings monteCarloSimulationSettings)
{
HestonMC p1 = new HestonMC();
if (europeanOption.Type == PayoffType.Call)
{
return(p1.CalculateEuropeanCallOptionPrice(parameters.InitialStockPrice,
europeanOption.StrikePrice,
parameters.RiskFreeRate,
europeanOption.Maturity,
parameters.VarianceParameters.V0,
parameters.VarianceParameters.Kappa,
parameters.VarianceParameters.Theta,
parameters.VarianceParameters.Rho,
parameters.VarianceParameters.Sigma,
monteCarloSimulationSettings.NumberOfTimeSteps,
monteCarloSimulationSettings.NumberOfTrials));
}
else
{
return(p1.CalculatePutOptionPrice(parameters.InitialStockPrice,
europeanOption.StrikePrice,
parameters.RiskFreeRate,
europeanOption.Maturity,
parameters.VarianceParameters.V0,
parameters.VarianceParameters.Kappa,
parameters.VarianceParameters.Theta,
parameters.VarianceParameters.Rho,
parameters.VarianceParameters.Sigma,
monteCarloSimulationSettings.NumberOfTimeSteps,
monteCarloSimulationSettings.NumberOfTrials));
}
}
/// <summary>
/// Price a European option in the Heston model using the Heston formula. This should be accurate to 5 decimal places
/// </summary>
/// <param name="parameters">Object implementing IHestonModelParameters interface, containing model parameters.</param>
/// <param name="europeanOption">Object implementing IEuropeanOption interface, containing the option parameters.</param>
/// <returns>Option price</returns>
public static double HestonEuropeanOptionPrice(IHestonModelParameters parameters,
IEuropeanOption europeanOption)
{
Hestonformula r1 = new Hestonformula(parameters.VarianceParameters.V0,
parameters.VarianceParameters.Kappa,
parameters.VarianceParameters.Theta,
parameters.VarianceParameters.Rho,
parameters.VarianceParameters.Sigma);
if (europeanOption.Type == PayoffType.Call)
{
return(Math.Round(r1.CalculateCallOptionPrice(parameters.InitialStockPrice,
europeanOption.StrikePrice,
parameters.RiskFreeRate,
europeanOption.Maturity), 5));
}
else
{
return(Math.Round(r1.CalculatePutOptionPrice(parameters.InitialStockPrice,
europeanOption.StrikePrice,
parameters.RiskFreeRate,
europeanOption.Maturity), 5));
}
}
public OptionMarketDataGrading(IEuropeanOption option, double price)
{
Option = option;
Price = price;
}
/// <summary>
/// Price a European option in the Heston model using the Monte-Carlo method. Accuracy will depend on number of time steps and samples
/// </summary>
/// <param name="parameters">Object implementing IHestonModelParameters interface, containing model parameters.</param>
/// <param name="europeanOption">Object implementing IEuropeanOption interface, containing the option parameters.</param>
/// <param name="monteCarloSimulationSettings">An object implementing IMonteCarloSettings object and containing simulation settings.</param>
/// <returns>Option price</returns>
public static double HestonEuropeanOptionPriceMC(IHestonModelParameters parameters, IEuropeanOption europeanOption, IMonteCarloSettings monteCarloSimulationSettings)
{
try
{
// Create Monte Carlo EU option object
EuropeanOptionMC euOptionMC = new EuropeanOptionMC((HestonModelParameters)parameters,
(MonteCarloSettings)monteCarloSimulationSettings, (EuropeanOption)europeanOption);
return(euOptionMC.Price(Environment.ProcessorCount));
}
catch (Exception ex)
{
throw ex;
}
}
/// <summary>
/// Price a European option in the Heston model using the Heston formula. This should be accurate to 5 decimal places
/// </summary>
/// <param name="parameters">Object implementing IHestonModelParameters interface, containing model parameters.</param>
/// <param name="europeanOption">Object implementing IEuropeanOption interface, containing the option parameters.</param>
/// <returns>Option price</returns>
public static double HestonEuropeanOptionPrice(IHestonModelParameters parameters, IEuropeanOption europeanOption)
{
try
{
// Create European Option Formula object
EuropeanOptionFormula euFormula = new EuropeanOptionFormula((HestonModelParameters)parameters, (EuropeanOption)europeanOption);
return(euFormula.Price());
}
catch (Exception e)
{
throw e;
}
}
