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[Robin Hankin]

Hi

you could use interpolant() of the emulator package,
for a Gaussian process approach,
or approx() [or appproxfun()] if linear interpolation
is acceptable.

HTH


Robin



On 14 Dec 2006, at 10:20, Bird Fish wrote:

> Dear Colleagues
> I am a very new member here. If my question sounds silly to you, I  
> apologize
> in advance.
>
> If I have a complicated function without an explicit expression. ( For
> example, the price of  American put option p is a function of the  
> current
> stock price S and expected future volatility sigma, but there is no  
> clean
> elementary function that would map (S, sigma) to p, in fact, p has  
> to be
> calculated with a sophisticated procedure.
>
> In such case, is there a function in R to find sigma, with S and p  
> known?
> Also, is there a way to find the derivative of p with regard to sigma?
>
> Could anyone please shed some light on it? Your help will be highly
> appreciated!!!
>
> Best
> Bird and Fish
> ______________________________________________
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--
Robin Hankin
Uncertainty Analyst
National Oceanography Centre, Southampton
European Way, Southampton SO14 3ZH, UK
  tel  023-8059-7743