gaussLaguerre.stateDeriv: Calculate derivatives of option prices with respect to state...

In piotrek-orlowski/transformOptionPricer: Characteristic-function based option pricer.

Description

Calculate derivatives of option prices with respect to state values, using a laguerre quadrature

Usage

gaussLaguerre.stateDeriv(params.Q, strikeMat, mkt, stateVec,
  rtol = 1e-13, alpha = 0, N = 64, preCalc = NULL, N.factors = 3)

Arguments

params.Q	The Q-parameters of the stock-price process
strikeMat	TxKxS array, containing the strikes at which the options are valued
mkt	list describing the market structure (times to maturity, interest rate, dividend yield, current stock price)
stateVec	SxN.factors matrix containing the states at which the pricing/derivatives are calculated
alpha	parameter of the laguerre quadrature
N	number of quadrature points to take
preCalc	a list containing preCalculated values of the ODE solutions (useful if derivatives are reevaluated many times for different states, but the same parameter)
N.factors	The number of stochastic factors we have

Value

A list containing elements call, put and otm, which in turn contain two lists of arrays of size TxKxS which show the sensitivity to state 1 or 2 at the given maturity,strike,state

piotrek-orlowski/transformOptionPricer documentation built on July 21, 2020, 11:51 a.m.