| AmericanOption {RQuantLib} | R Documentation |
This function evaluations an American-style option on a common stock using finite differences. The option value as well as the common first derivatives ("Greeks") are returned.
## Default S3 method: AmericanOption(type, underlying, strike, dividendYield, riskFreeRate, maturity, volatility, timeSteps=150, gridPoints=151) ## S3 method for class 'Option': print ## S3 method for class 'Option': summary
type |
A string with one of the values call or put |
underlying |
Current price of the underlying stock |
strike |
Strike price of the option |
dividendYield |
Continuous dividend yield (as a fraction) of the stock |
riskFreeRate |
Risk-free rate |
maturity |
Time to maturity (in fractional years) |
volatility |
Volatility of the underlying stock |
timeSteps |
Time steps for the Finite Differences method, default value is 150 |
gridPoints |
Grid points for the Finite Differences method, default value is 151 |
The Finite Differences method is used to value the American Option.
Please see any decent Finance textbook for background reading, and
the QuantLib documentation for details on the QuantLib
implementation.
An object of class AmericanOption (which inherits from class
Option) is returned. It contains a list with the
following components:
value |
Value of option |
delta |
Sensitivity of the option value for a change in the underlying |
gamma |
Sensitivity of the option delta for a change in the underlying |
vega |
Sensitivity of the option value for a change in the underlying's volatility |
theta |
Sensitivity of the option value for a change in t, the remaining time to maturity |
rho |
Sensitivity of the option value for a change in the risk-free interest rate |
dividendRho |
Sensitivity of the option value for a change in the dividend yield |
parameters |
List with parameters with which object was created |
Note that under the new pricing framework used in QuantLib, binary
pricers do not provide analytics for 'Greeks'. This is expected to be
addressed in future releases of QuantLib.
The interface might change in future release as QuantLib
stabilises its own API.
Dirk Eddelbuettel edd@debian.org for the R interface;
the QuantLib Group for QuantLib
http://quantlib.org for details on QuantLib.
# simple call with unnamed parameters
AmericanOption("call", 100, 100, 0.02, 0.03, 0.5, 0.4)
# simple call with some explicit parameters
AmericanOption("put", strike=100, volatility=0.4, 100, 0.02, 0.03, 0.5)