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? R, Thomas
Von meinem iPhone gesendet Am 10.02.2012 um 00:08 schrieb "J Toll" <jct...@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 > > _______________________________________________ > 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. _______________________________________________ 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.
