我试图在绘制欧洲看涨期权的同一张图中绘制Black＆Scholes欧洲看涨期权价格。
不幸的是，我的代码无法正常工作。
#plot the call payoff
payoff.call <- function(S) sapply(S, function(S) max(c(S-K,0))) #payoff
K <- 50 #set the strike price
curve(payoff.call, 0, 100, main = "Long Call Option Payoff function",
col = "blue", lty = 1, lwd = 1,xlab = "S", ylab = expression(f(S)))
#plot the B&S prices on the same graph
fair_value <- function(S) sapply(S, function(S) S*pnorm((log(S/K) + (r + 0.5*sigma^2)*tau)/(sigma*sqrt(tau))) - K*exp(-r*(tau))*pnorm((log(S/K) + (r + 0.5*sigma^2)*tau)/(sigma*sqrt(tau)))- sigma*sqrt(tau))
tau <- 1/360 #set the time to maturity
r <- 0.12 #set the interest rate
sigma <- 0.3 #set the vola
curve(fair_value, 0, 100, col = "black", add= TRUE)
我得到的是一张图表，其中收益显示为预期，但我看不到B＆S价格的曲线。