AmericanOption           package:RQuantLib           R Documentation

_A_m_e_r_i_c_a_n _O_p_t_i_o_n _e_v_a_l_u_a_t_i_o_n _u_s_i_n_g _F_i_n_i_t_e _D_i_f_f_e_r_e_n_c_e_s

_D_e_s_c_r_i_p_t_i_o_n:

     This function evaluations an American-style option on a common
     stock using finite differences. The option value as well as the
     common first derivatives (\"Greeks\") are returned.

_U_s_a_g_e:

     AmericanOption.default(type, underlying, strike, dividendYield, riskFreeRate,
     maturity, volatility, timeSteps=150, gridPoints=151)

     ## S3 method for class 'Option':
     print
     ## S3 method for class 'Option':
     summary

_A_r_g_u_m_e_n_t_s:

    type: A string with one of the values 'call', 'put' or 'straddle'

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

timeSteps: Time steps for the Finite Differences method, default value
          is 150

gridPoints: Grid points for the Finite Differences method, default
          value is 151

_D_e_t_a_i_l_s:

     The Finite Differences method is used to value the American
     Option.

     Please see any decent Finance textbook for background reading, and
     the 'QuantLib' documentation for details on the 'QuantLib'
     implementation.

_V_a_l_u_e:

     An object of class 'AmericanOption' (which inherits from class
     'Option') is returned. It contains a list with the following
     components:  

   value: Value of option

   delta: Change in value for a change in the underlying

   gamma: Change in value for a change in delta

    vega: Change in value for a change in the underlying's volatility

   theta: Change in value for a change in delta

     rho: Change in value for a change in time to maturity (\"time
          decay\")

dividendRho: Change in value for a change in delta

parameters: List with parameters with which object was created

_N_o_t_e:

     The interface might change in future release as 'QuantLib'
     stabilises its own API.

_A_u_t_h_o_r(_s):

     Dirk Eddelbuettel edd@debian.org for the R interface; the QuantLib
     Group for 'QuantLib'

_R_e_f_e_r_e_n_c_e_s:

     <URL: http://quantlib.org> for details on 'QuantLib'.

_S_e_e _A_l_s_o:

     'EuropeanOption'

_E_x_a_m_p_l_e_s:

     # simple call with unnamed parameters
     AmericanOption("call", 100, 100, 0.02, 0.03, 0.5, 0.4)
     # simple call with some explicit parameters
     AmericanOption("put", strike=100, volatility=0.4, 100, 0.02, 0.03, 0.5)

