# AmerPutLSMPriceSurf: Deriving a table of American put prices at different... In LSMonteCarlo: American options pricing with Least Squares Monte Carlo method

## Description

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

## Usage

 ```1 2 3 4 5 6 7``` ```AmerPutLSMPriceSurf(Spot = 1, vols = (seq(0.1, 2, 0.1)), n = 1000, m = 365, strikes = (seq(0.5, 2.5, 0.1)), r = 0.06, dr = 0, mT = 1) ## S3 method for class 'PriceSurface' summary(object, ...) ## S3 method for class 'PriceSurface' plot(x, color = divPalette(800, "RdBu"), ...) ```

## Arguments

 `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 `color=NULL` or other palette). `...` Not used.

## 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.

## Author(s)

Mikhail A. Beketov

Functions: `AmerPutLSM`, `AsianAmerPutLSMPriceSurf`, and `QuantoAmerPutLSMPriceSurf`.

## Examples

 ```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")) ```

### Example output

```Loading required package: mvtnorm

Volatility sequence:
0.1 0.3 0.5 0.7 0.9 1.1 1.3 1.5

Strike sequence:
0.5 0.7 0.9 1.1 1.3 1.5 1.7 1.9

Average price: 0.4749081
Minimum price: 0
Maximum price: 1.237644
```

LSMonteCarlo documentation built on May 2, 2019, 8:55 a.m.