AsianAmerPutLSMPriceSurf: Deriving a table of Asian 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 AsianAmerPutLSM function.

Usage

AsianAmerPutLSMPriceSurf(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)

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).

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: AsianAmerPutLSM, summary.PriceSurface, plot.PriceSurface, AmerPutLSMPriceSurf, and QuantoAmerPutLSMPriceSurf.

Examples

surface<-AsianAmerPutLSMPriceSurf(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 2, 2019, 8:55 a.m.