LSMonteCarlo (version 1.0)

QuantoAmerPutLSMPriceSurf: 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.

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"))