am_call_partials {AmericanCallOpt}

R Documentation

Hedge parameters of a standard American call option using a binomial tree

Description

Partials of an American call option using a binomial approximation

Usage

am_call_partials(S, K, r, sigma, t, steps)

Arguments

S	spot price
K	exercise price
r	risk-free interest rate
sigma	volatility
t	time to maturity
steps	number of steps in binomial tree

Details

The binomial method provides for techniques to approximate the partials of a derivative instrument. The computation of the partials for the binomial tree used in this package is discussed by Hull (2006).

Value

hedge$delta	partial with respect to S
hedge$gamma	second partial with respect to S
hedge$theta	partial with respect to time
hedge$vega	partial with respect to sigma
hedge$rho	partial with respect to r

Author(s)

Paolo Zagaglia, paolo.zagaglia@gmail.com

References

John Hull, "Options, Futures and Other Derivatives", Prentice-Hall, Sixth Edition, 2006.

Examples

rm(list=ls())

S<-100 
K<-100
r<-0.1 
sigma<-0.25
t<-1.0 
steps<-100

hedge<-am_call_partials(S, K, r, sigma, t, steps)

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