price


Object returned by the pricing functions in the package



The function is nothing else, but the <code>object$price</code> action, with the <code>object</code> returned by the pricing functions in the package.


 Monte Carlo 

 Option pricing 

 American put 

The package compiles functions for calculating prices of American put options with Least Squares Monte Carlo method. The option types are plain vanilla American put, Asian American put, and Quanto American put. The pricing algorithms include variance reduction techniques such as Antithetic Variates and Control Variates. Additional functions are given to derive "price surfaces" at different volatilities and strikes, create 3-D plots, quickly generate Geometric Brownian motion, and calculate prices of European options with Black & Scholes analytical solution.

price: Extracting price from the pricing functions outputs

Description

Usage

Arguments

Value

See Also

Examples