Description Usage Arguments Details Value Author(s) References Examples

Partials of an American call option using a binomial approximation

1 | ```
am_call_partials(S, K, r, sigma, t, steps)
``` |

`S` |
spot price |

`K` |
exercise price |

`r` |
risk-free interest rate |

`sigma` |
volatility |

`t` |
time to maturity |

`steps` |
number of steps in binomial tree |

The binomial method provides for techniques to approximate the partials of a derivative instrument. The computation of the partials for the binomial tree used in this package is discussed by Hull (2006).

`hedge$delta` |
partial with respect to S |

`hedge$gamma` |
second partial with respect to S |

`hedge$theta` |
partial with respect to time |

`hedge$vega` |
partial with respect to sigma |

`hedge$rho` |
partial with respect to r |

Paolo Zagaglia, paolo.zagaglia@gmail.com

John Hull, "Options, Futures and Other Derivatives", Prentice-Hall, Sixth Edition, 2006.

1 2 3 4 5 6 7 8 9 10 |

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AmericanCallOpt documentation built on May 2, 2019, 6:35 a.m.

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