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:

     ## Default S3 method:
     AmericanOption(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' or 'put'

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: 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


     Note that under the new pricing framework used in QuantLib, binary
     pricers do not provide analytics for 'Greeks'. This is expected to
     be addressed in future releases of QuantLib.

_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)

