From 9473f20451768869ecc0f6b65118708ea1d2bbf9 Mon Sep 17 00:00:00 2001 From: jaehyukchoi Date: Thu, 18 Feb 2021 09:28:48 +0800 Subject: [PATCH] Used doi and add more references --- pkg/R/bachelier_impvol.R | 2 +- pkg/R/bachelier_price.R | 2 +- pkg/R/blackscholes_impvol.R | 2 +- pkg/R/blackscholes_price.R | 9 +++++++++ pkg/man/BachelierImpvol.Rd | 2 +- pkg/man/BachelierPrice.Rd | 2 +- pkg/man/BlackScholesImpvol.Rd | 2 +- pkg/man/BlackScholesPrice.Rd | 10 ++++++++++ 8 files changed, 25 insertions(+), 6 deletions(-) diff --git a/pkg/R/bachelier_impvol.R b/pkg/R/bachelier_impvol.R index 8e1e59e..e33f538 100644 --- a/pkg/R/bachelier_impvol.R +++ b/pkg/R/bachelier_impvol.R @@ -14,7 +14,7 @@ #' @references Choi, J., Kim, K., & Kwak, M. (2009). #' Numerical Approximation of the Implied Volatility Under Arithmetic Brownian #' Motion. Applied Mathematical Finance, 16(3), 261-268. -#' \url{https://doi.org/10.1080/13504860802583436} +#' \doi{10.1080/13504860802583436} #' #' @export #' diff --git a/pkg/R/bachelier_price.R b/pkg/R/bachelier_price.R index a91544d..5f0c924 100644 --- a/pkg/R/bachelier_price.R +++ b/pkg/R/bachelier_price.R @@ -15,7 +15,7 @@ #' @references Choi, J., Kim, K., & Kwak, M. (2009). #' Numerical Approximation of the Implied Volatility Under Arithmetic Brownian #' Motion. Applied Mathematical Finance, 16(3), 261-268. -#' \url{https://doi.org/10.1080/13504860802583436} +#' \doi{10.1080/13504860802583436} #' #' @examples #' spot <- 100 diff --git a/pkg/R/blackscholes_impvol.R b/pkg/R/blackscholes_impvol.R index 010555c..ba79419 100644 --- a/pkg/R/blackscholes_impvol.R +++ b/pkg/R/blackscholes_impvol.R @@ -13,7 +13,7 @@ #' #' @references Giner, G., & Smyth, G. K. (2016). statmod: Probability Calculations #' for the Inverse Gaussian Distribution. The R Journal, 8(1), 339-351. -#' \url{https://doi.org/10.32614/RJ-2016-024} +#' \doi{10.32614/RJ-2016-024} #' #' @export #' diff --git a/pkg/R/blackscholes_price.R b/pkg/R/blackscholes_price.R index f0a4661..d106ec0 100644 --- a/pkg/R/blackscholes_price.R +++ b/pkg/R/blackscholes_price.R @@ -12,6 +12,15 @@ #' @return option price #' @export #' +#' @references Black, F., & Scholes, M. (1973). The Pricing of Options and +#' Corporate Liabilities. Journal of Political Economy, 81(3), 637-654. +#' \doi{10.1086/260062} +#' +#' Black, F. (1976). The pricing of commodity contracts. Journal of Financial +#' Economics, 3(1), 167-179. \doi{10.1016/0304-405X(76)90024-6} +#' +#' \url{https://en.wikipedia.org/wiki/Black-Scholes_model} +#' #' @examples #' spot <- 100 #' strike <- seq(80,125,5) diff --git a/pkg/man/BachelierImpvol.Rd b/pkg/man/BachelierImpvol.Rd index 4fdb7cb..d3c76c2 100644 --- a/pkg/man/BachelierImpvol.Rd +++ b/pkg/man/BachelierImpvol.Rd @@ -55,7 +55,7 @@ FER::BachelierImpvol(price, strike, spot, texp, intr=intr) Choi, J., Kim, K., & Kwak, M. (2009). Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion. Applied Mathematical Finance, 16(3), 261-268. - \url{https://doi.org/10.1080/13504860802583436} + \doi{10.1080/13504860802583436} } \seealso{ \code{\link{BachelierPrice}} diff --git a/pkg/man/BachelierPrice.Rd b/pkg/man/BachelierPrice.Rd index 1aadac5..bee74e1 100644 --- a/pkg/man/BachelierPrice.Rd +++ b/pkg/man/BachelierPrice.Rd @@ -54,7 +54,7 @@ FER::BachelierPrice(strike, spot, texp, sigma, intr=intr) Choi, J., Kim, K., & Kwak, M. (2009). Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion. Applied Mathematical Finance, 16(3), 261-268. - \url{https://doi.org/10.1080/13504860802583436} + \doi{10.1080/13504860802583436} } \seealso{ \code{\link{BachelierImpvol}} diff --git a/pkg/man/BlackScholesImpvol.Rd b/pkg/man/BlackScholesImpvol.Rd index 043ca9d..b72af10 100644 --- a/pkg/man/BlackScholesImpvol.Rd +++ b/pkg/man/BlackScholesImpvol.Rd @@ -54,7 +54,7 @@ FER::BlackScholesImpvol(price, strike, spot, texp, intr=intr) \references{ Giner, G., & Smyth, G. K. (2016). statmod: Probability Calculations for the Inverse Gaussian Distribution. The R Journal, 8(1), 339-351. - \url{https://doi.org/10.32614/RJ-2016-024} + \doi{10.32614/RJ-2016-024} } \seealso{ \code{\link{BlackScholesPrice}} diff --git a/pkg/man/BlackScholesPrice.Rd b/pkg/man/BlackScholesPrice.Rd index cea9944..fd2aea5 100644 --- a/pkg/man/BlackScholesPrice.Rd +++ b/pkg/man/BlackScholesPrice.Rd @@ -49,6 +49,16 @@ sigma <- 0.2 intr <- 0.05 FER::BlackScholesPrice(strike, spot, texp, sigma, intr=intr) +} +\references{ +Black, F., & Scholes, M. (1973). The Pricing of Options and + Corporate Liabilities. Journal of Political Economy, 81(3), 637-654. + \doi{10.1086/260062} + + Black, F. (1976). The pricing of commodity contracts. Journal of Financial + Economics, 3(1), 167-179. \doi{10.1016/0304-405X(76)90024-6} + + \url{https://en.wikipedia.org/wiki/Black-Scholes_model} } \seealso{ \code{\link{BlackScholesImpvol}}