AmericanCallOpt (version 0.95)

am_call_partials: 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

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

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).

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)