Description Usage Arguments Value Author(s) See Also Examples

View source: R/AsianAmerPutLSMPriceSurf.R

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

function.

1 2 | ```
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)
``` |

`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). |

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: `AsianAmerPutLSM`

,
`summary.PriceSurface`

,
`plot.PriceSurface`

,
`AmerPutLSMPriceSurf`

, and
`QuantoAmerPutLSMPriceSurf`

.

1 2 3 4 | ```
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"))
``` |

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