Interest rate of the numeraire currency (e.g. USD).
dr
Dividend rate of the underlying asset.
mT
Maturity time (years).
Spot2
Spot price of the 3rd asset (e.g. EUR/USD).
sigma2
Volatility of the 3rd asset.
r2
Interest rate of the 3rd asset.
dr2
Dividend rate of the 3rd asset.
rho
Correlation coefficient between the prices.
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.
Note
The function rmvnorm included in the pricing algorithm is a part of the mnormt package. Please, load that package before the use of the QuantoAmerPutLSMPriceSurf function. Using the function plot with default pallet requires package fBasics, if you do not want to load this package, you can set color=NULL or other palette).
Author(s)
Mikhail A. Beketov
See Also
Functions: QuantoAmerPutLSM,
summary.PriceSurface,
plot.PriceSurface,
AmerPutLSMPriceSurf, and
AsianAmerPutLSMPriceSurf.
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/QuantoAmerPutLSMPriceSurf.Rd_%03d_medium.png", width=480, height=480)
> ### Name: QuantoAmerPutLSMPriceSurf
> ### Title: Deriving a table of Quanto American put prices at different
> ### volatilities and strikes
> ### Aliases: QuantoAmerPutLSMPriceSurf
> ### Keywords: Monte Carlo Option pricing American put
>
> ### ** Examples
>
> surface<-QuantoAmerPutLSMPriceSurf(vols = (seq(0.1, 1.7, 0.2)), n=100, m=5,
+ strikes = (seq(0.7, 1.7, 0.2)))
> summary(surface)
Volatility sequence:
0.1 0.3 0.5 0.7 0.9 1.1 1.3 1.5 1.7
Strike sequence:
0.7 0.9 1.1 1.3 1.5 1.7
Average price: 0.4960411
Minimum price: 0
Maximum price: 1.188047> plot(surface, color = divPalette(150, "RdBu"))
>
>
>
>
>
> dev.off()
null device
1
>