Theoretically greeks at maturity do not exist. If you want this, then you could just write your own if statement: value = max(S-K,0), delta = ifelse(S>K,1,0), gamma = ifelse(S=K, Inf, 0), vega = 0, theta =0?, rho = 0, divRho = 0


Kind regards,-- 
Dominykas Grigonis


On Thursday, 17 April 2014 at 14:14, Pedro Baltazar wrote:

> The "theoretical" value of a call option at maturity is max(S-K,0).
> 
> So, I am wondering if there is any a implementation justification not
> to put an some extra "if"s to check this corner cases
> 
> Also, when using this function to calibrate other quantitities (where
> maturity is a variable) the fact that it gives zero for maturity=0,
> might have impact in finding max ou min.
> 
> Thanks
> 
> On Thu, Apr 17, 2014 at 2:04 PM, Ryan Abbate <ryan.abbate@gmail.com (mailto:ryan.abbate@gmail.com)> wrote:
> > The reason is that you define the maturity date as zero, even though this
> > particular option is otherwise in-the-money. Try entering maturity = 1 and
> > you'll have values that are intuitive.
> > 
> > Hope this helps.
> > -Ryan
> > 
> > 
> > On Thu, Apr 17, 2014 at 8:54 AM, Pedro Baltazar <pedrobtz@gmail.com (mailto:pedrobtz@gmail.com)> wrote:
> > > 
> > > Hello,
> > > 
> > > why this package gives the value zero, and not (underlying - strike) =
> > > 50, at maturity?
> > > 
> > > > EuropeanOption("call", underlying=150, strike=100, dividendYield=0.00,
> > > > riskFreeRate=0.03, maturity=0.0,volatility=0.2)
> > > > 
> > > 
> > > Concise summary of valuation for EuropeanOption
> > > value delta gamma vega theta rho divRho
> > > 0 0 0 0 0 0 0
> > > 
> > > Thanks
> > > 
> > > --
> > > Pedro Baltazar
> > > 
> > > _______________________________________________
> > > R-SIG-Finance@r-project.org (mailto:R-SIG-Finance@r-project.org) mailing list
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> > > -- Also note that this is not the r-help list where general R questions
> > > should go.
> > > 
> > 
> > 
> 
> 
> 
> 
> -- 
> Pedro Baltazar
> 
> _______________________________________________
> R-SIG-Finance@r-project.org (mailto:R-SIG-Finance@r-project.org) mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
> 
> 



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