Description Usage Arguments Value Author(s) See Also Examples

View source: R/AmerPutLSMPriceSurf.R

The function calculates the prices at different volatilities and strikes using the `AmerPutLSM`

function.

1 2 3 4 5 6 7 |

`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 |

`...` |
Not used. |

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.

Mikhail A. Beketov

Functions: `AmerPutLSM`

,
`AsianAmerPutLSMPriceSurf`

, and
`QuantoAmerPutLSMPriceSurf`

.

1 2 3 4 | ```
surface<-AmerPutLSMPriceSurf(vols = (seq(0.1, 1.5, 0.2)), n=200, m=10,
strikes = (seq(0.5, 1.9, 0.2)))
summary(surface)
plot(surface, color = divPalette(150, "RdBu"))
``` |

LSMonteCarlo documentation built on May 29, 2017, 11:08 p.m.

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