[R-SIG-Finance] American option sensitivities

Thomas Schwiertz Thomas.Schwiertz at gutmark.net
Fri Feb 10 00:40:37 CET 2012

Hi James,
binary pricers means you go up or down in a tree. This is kind of Monte-Carlo Method. In an european option framework you can use black- scholes i. e. you can really calculate (analytics) sensitivities. Of course you can define a sensitivity, which result is the answer to "what amount does my option move if the the underlying changes e.g. 1%?" BTW usual definitions for interest rates or traders... You should define your underlying, Definition of your sensitivity... Does that help?

Von meinem iPhone gesendet

Am 10.02.2012 um 00:08 schrieb "J Toll" <jctoll at gmail.com>:

> Hi,
> I'd like to calculate sensitivities on American options.  I was hoping
> somebody might be able to summarize of the current state of that
> functionality within the various R packages.  It's my understanding
> that the fOptions package can calculate greeks for European options
> but not American.  RQuantLib appears to have had the ability to
> calculate greeks for American options at one point, but it appears
> that functionality was removed in Release 0.1.8 sometime around
> 2003-11-28.
> http://lists.r-forge.r-project.org/pipermail/rquantlib-commits/2010-August/000117.html
> Additionally, from RQuantLib ?AmericanOptions says,
> "Note that under the new pricing framework used in QuantLib, binary
> pricers do not provide analytics for 'Greeks'. This is expected to be
> addressed in future releases of QuantLib."
> I haven't found any other packages for calculating option
> sensitivities.  Are there any other packages?
> Regarding RQuantLib, is the issue that that functionality hasn't been
> implemented in R yet, or is it QuantLib that's broken?
> Thanks for any clarification.
> Best,
> James
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