pde_gbm: Solve a PDE/variational inequality under GBM dynamics

In shill1729/OptionPricer: An option pricer for European and American vanilla stock options

Description

Solve a PDE/variational equality under GBM dynamics using an implicit finite difference scheme

Usage

pde_gbm(
  spot,
  strike,
  maturity,
  rate,
  div,
  volat,
  what = "call",
  style = "american",
  output = "greeks",
  N = 400,
  M = 400
)

Arguments

spot	the spot price
strike	the strike sprice
maturity	the maturity of the option contract
rate	the risk-neutral rate
div	the dividend yield rate
volat	the volatility
what	the payoff to use
style	'european' for PDE/PIDE problems, 'american' for variational inequalities
output	"greeks", "price" or "grid" for the format to return the solution in
N	the time resolution
M	the space resolution

shill1729/OptionPricer documentation built on June 11, 2020, 12:18 a.m.