R: Deriving a table of American put prices at different...
AmerPutLSMPriceSurf
R Documentation
Deriving a table of American put prices at different volatilities and strikes
Description
The function calculates the prices at different volatilities and strikes using the AmerPutLSM function.
Usage
AmerPutLSMPriceSurf(Spot = 1, vols = (seq(0.1, 2, 0.1)), n = 1000, m = 365,
strikes = (seq(0.5, 2.5, 0.1)), r = 0.06, dr = 0, mT = 1)
## S3 method for class 'PriceSurface'
summary(object, ...)
## S3 method for class 'PriceSurface'
plot(x, color = divPalette(800, "RdBu"), ...)
Arguments
Spot
Spot price of the underlying asset (e.g. stock).
vols
Sequence of volatilities.
n
Number of paths simulated.
m
Number of time steps in the simulation.
strikes
Sequence of strikes.
r
Interest rate of the numeraire currency (e.g. EUR).
dr
Dividend rate of the underlying asset.
mT
Maturity time (years).
object
Object of the class PriceSurface that is a matrix of prices at different volatilities and strikes.
x
Object of the class PriceSurface that is a matrix of prices at different volatilities and strikes.
color
Color palette (the default pallet requires package fBasics, if you do not want to load this package, you can set color=NULL or other palette).
...
Not used.
Value
The function returns an object of the class PriceSurface that is a matrix of prices at different volatilities and strikes. Class-specific summary function gives the sequences of volatilities and strikes used, as well as maximum, minimum, and average prices. Class-specific plot function constructs a 3-D plot of the price surface.
Author(s)
Mikhail A. Beketov
See Also
Functions: AmerPutLSM,
AsianAmerPutLSMPriceSurf, and
QuantoAmerPutLSMPriceSurf.
R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)
R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.
R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.
Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.
> library(LSMonteCarlo)
Loading required package: mvtnorm
Loading required package: fBasics
Loading required package: timeDate
Loading required package: timeSeries
Rmetrics Package fBasics
Analysing Markets and calculating Basic Statistics
Copyright (C) 2005-2014 Rmetrics Association Zurich
Educational Software for Financial Engineering and Computational Science
Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.
https://www.rmetrics.org --- Mail to: info@rmetrics.org
> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/LSMonteCarlo/AmerPutLSMPriceSurf.Rd_%03d_medium.png", width=480, height=480)
> ### Name: AmerPutLSMPriceSurf
> ### Title: Deriving a table of American put prices at different
> ### volatilities and strikes
> ### Aliases: AmerPutLSMPriceSurf summary.PriceSurface plot.PriceSurface
> ### Keywords: Monte Carlo Option pricing American put
>
> ### ** Examples
>
> surface<-AmerPutLSMPriceSurf(vols = (seq(0.1, 1.5, 0.2)), n=200, m=10,
+ strikes = (seq(0.5, 1.9, 0.2)))
> summary(surface)
Volatility sequence:
0.1 0.3 0.5 0.7 0.9 1.1 1.3 1.5
Strike sequence:
0.5 0.7 0.9 1.1 1.3 1.5 1.7 1.9
Average price: 0.4708969
Minimum price: 0
Maximum price: 1.252374> plot(surface, color = divPalette(150, "RdBu"))
>
>
>
>
>
> dev.off()
null device
1
>