price_wrapper: Wrapper to GBM pricer
In shill1729/OptionPricer: An option pricer for European and American vanilla stock options
Description
Usage
Arguments
Value
View source: R/black_scholes_iv.R
Description
Wrapper to pde_gbm to pass to black_scholes_iv. Not exported.
Usage
1
price_wrapper(volat, fee, spot, strike, maturity, rate, div, what, style, N, M)
Arguments
volat
the volatility
fee
the market price
spot
the spot price of the underlying
strike
the strike price of the option
maturity
the maturity in trading years of the option contract
rate
the discounting rate
div
the dividend yield rate
what
what type of option to price: "put" or "call"
style
optionality style: american or european
N
time-resolution
M
space-resolution
Value
numeric
shill1729/OptionPricer documentation built on June 11, 2020, 12:18 a.m.
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Description Usage Arguments Value
View source: R/black_scholes_iv.R
Description
Wrapper to pde_gbm to pass to black_scholes_iv. Not exported.
Usage
1 | price_wrapper(volat, fee, spot, strike, maturity, rate, div, what, style, N, M)
|
Arguments
volat |
the volatility |
fee |
the market price |
spot |
the spot price of the underlying |
strike |
the strike price of the option |
maturity |
the maturity in trading years of the option contract |
rate |
the discounting rate |
div |
the dividend yield rate |
what |
what type of option to price: "put" or "call" |
style |
optionality style: american or european |
N |
time-resolution |
M |
space-resolution |
Value
numeric
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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