Description Usage Arguments Details Value Note Author(s) References Examples
The AsianOption
function evaluates an Asian-style
option on a common stock using an analytic solution for continuous
geometric average price. The option value, the common first
derivatives ("Greeks") as well as the calling parameters are returned.
1 2 3 4 | ## Default S3 method:
AsianOption(averageType, type, underlying, strike,
dividendYield, riskFreeRate, maturity,
volatility, first=0, length=0, fixings=0)
|
averageType |
Specifiy averaging type, either "geometric" or "arithmetic" |
type |
A string with one of the values |
underlying |
Current price of the underlying stock |
strike |
Strike price of the option |
dividendYield |
Continuous dividend yield (as a fraction) of the stock |
riskFreeRate |
Risk-free rate |
maturity |
Time to maturity (in fractional years) |
volatility |
Volatility of the underlying stock |
first |
to be written |
length |
to be written |
fixings |
to be written |
When "arithmetic" evaluation is used, only the NPV() is returned.
The well-known closed-form solution derived by Black, Scholes and Merton is used for valuation. Implied volatilities are calculated numerically.
Please see any decent Finance textbook for background reading, and the
QuantLib
documentation for details on the QuantLib
implementation.
The AsianOption
function returns an object of class
AsianOption
(which inherits from class
Option
). It contains a list with the following
components:
value |
Value of option |
delta |
Sensitivity of the option value for a change in the underlying |
gamma |
Sensitivity of the option delta for a change in the underlying |
vega |
Sensitivity of the option value for a change in the underlying's volatility |
theta |
Sensitivity of the option value for a change in t, the remaining time to maturity |
rho |
Sensitivity of the option value for a change in the risk-free interest rate |
dividendRho |
Sensitivity of the option value for a change in the dividend yield |
parameters |
List with parameters with which object was created |
The interface might change in future release as QuantLib
stabilises its own API.
Dirk Eddelbuettel edd@debian.org for the R interface;
the QuantLib Group for QuantLib
http://quantlib.org for details on QuantLib
.
1 2 3 | # simple call with some explicit parameters, and slightly increased vol:
AsianOption("geometric", "put", underlying=80, strike=85, div=-0.03,
riskFree=0.05, maturity=0.25, vol=0.2)
|
sh: 1: cannot create /dev/null: Permission denied
Concise summary of valuation for AsianOption
value delta gamma vega theta rho divRho
4.6922 -0.8031 0.0594 6.8662 0.0580 -9.2039 8.0309
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