pde_gbm_greeks: 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
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pde_gbm_greeks(
spot,
strike,
maturity,
rate,
div,
volat,
N,
M,
what = "call",
style = "american"
)
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
N
the time resolution
M
the space resolution
what
the payoff to use
style
'european' for PDE/PIDE problems, 'american' for variational inequalities
shill1729/OptionPricer documentation built on June 11, 2020, 12:18 a.m.
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Description
Solve a PDE/variational equality under GBM dynamics using an implicit finite difference scheme
Usage
1 2 3 4 5 6 7 8 9 10 11 12 | pde_gbm_greeks(
spot,
strike,
maturity,
rate,
div,
volat,
N,
M,
what = "call",
style = "american"
)
|
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 |
N |
the time resolution |
M |
the space resolution |
what |
the payoff to use |
style |
'european' for PDE/PIDE problems, 'american' for variational inequalities |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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