QuantoAmerPutLSMPriceSurf {LSMonteCarlo}

Deriving a table of Quanto American put prices at different volatilities and strikes

Description

The function calculates the prices at different volatilities and strikes using the QuantoAmerPutLSM function.

Usage

QuantoAmerPutLSMPriceSurf(Spot = 1, vols = (seq(0.1, 2, 0.1)), n = 1000, m = 365, 
strikes = (seq(0.5, 2.5, 0.1)), r = 0.06, dr = 0, mT = 1, Spot2 = 1, sigma2 = 0.2, 
r2 = 0, dr2 = 0, rho = 0)

Arguments

Spot

Spot price of the underlying asset (e.g. stock).

vols

Sequence of volatilities.

n

Number of paths simulated.

m

Number of time steps in the simulation.

strikes

Sequence of strikes.

r

Interest rate of the numeraire currency (e.g. USD).

dr

Dividend rate of the underlying asset.

mT

Maturity time (years).

Spot2

Spot price of the 3rd asset (e.g. EUR/USD).

sigma2

Volatility of the 3rd asset.

r2

Interest rate of the 3rd asset.

dr2

Dividend rate of the 3rd asset.

rho

Correlation coefficient between the prices.

Value

The function returns an object of the class PriceSurface that is a matrix of prices at different volatilities and strikes. Class-specific summary function gives the sequences of volatilities and strikes used, as well as maximum, minimum, and average prices. Class-specific plot function constructs a 3-D plot of the price surface.

Note

The function rmvnorm included in the pricing algorithm is a part of the mnormt package. Please, load that package before the use of the QuantoAmerPutLSMPriceSurf function. Using the function plot with default pallet requires package fBasics, if you do not want to load this package, you can set color=NULL or other palette).

Author(s)

Mikhail A. Beketov

See Also

Functions: QuantoAmerPutLSM, summary.PriceSurface, plot.PriceSurface, AmerPutLSMPriceSurf, and AsianAmerPutLSMPriceSurf.

Examples

surface<-QuantoAmerPutLSMPriceSurf(vols = (seq(0.1, 1.7, 0.2)), n=100, m=5, 
strikes = (seq(0.7, 1.7, 0.2)))
summary(surface)
plot(surface, color = divPalette(150, "RdBu"))