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.
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