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

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

See Also

Functions: AmerPutLSM, AsianAmerPutLSMPriceSurf, and QuantoAmerPutLSMPriceSurf.

Examples

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
Loading required package: fBasics
Loading required package: timeDate
Loading required package: timeSeries

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.