NFCP: American.Option.Value – R documentation

Pricing

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Documentation

NFCP

American.Option.Value

N-Factor Model American Put Option Pricing

Description

'r lifecycle::badge("deprecated")'

This function was deprecated due to a change in the name of the function to adhere to the tidyverse style guide.

Usage

American.Option.Value(
  X.0,
  parameters,
  n,
  t,
  dt,
  K,
  r,
  orthogonal = "Power",
  degree = 2,
  verbose = FALSE,
  debugging = FALSE
)

Examples

output <- American.Option.Value(X.0 = c(3,0),
                     parameters = SS_oil$two_factor,
                     n = 1e2,
                     t = 1,
                     dt = 1/12,
                     K = 20,
                     r = 0.05,
                     verbose = FALSE,
                     orthogonal = "Power",
                     degree = 2)

## ->

output <- American_option_value(x_0 = c(3,0),
                     parameters = SS_oil$two_factor,
                     N_simulations = 1e2,
                     option_maturity = 1,
                     dt = 1/12,
                     K = 20,
                     r = 0.05,
                     verbose = FALSE,
                     orthogonal = "Power",
                     degree = 2)

NFCP

N-Factor Commodity Pricing Through Term Structure Estimation

v1.0.1

GPL-3

Authors

Thomas Aspinall [aut, cre] (<https://orcid.org/0000-0002-6968-1989>), Adrian Gepp [aut] (<https://orcid.org/0000-0003-1666-5501>), Geoff Harris [aut] (<https://orcid.org/0000-0003-4284-8619>), Simone Kelly [aut] (<https://orcid.org/0000-0002-6528-8557>), Colette Southam [aut] (<https://orcid.org/0000-0001-7263-2347>), Bruce Vanstone [aut] (<https://orcid.org/0000-0002-3977-2468>)

Initial release

American.Option.Value

Description

Usage

Examples

NFCP

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