Displaying 1 result from an estimated 1 matches for "cranknicolson".
2013 Apr 13
0
help on smoothing volatility surface..
...reeRate, maturity, volatility,
timeSteps=150,
gridPoints=151)$impliedVol
}
GetDelta <- function(type, underlying, strike,
dividendYield, riskFreeRate, maturity, volatility,
timeSteps=150, gridPoints=149, engine="CrankNicolson")
{
AmericanOption(type,underlying, strike, dividendYield, riskFreeRate,
maturity, volatility,
timeSteps=150, gridPoints=149,
engine="CrankNicolson")$delta
}
# set what symbol you want vol surface for
underlying <- 'GOOG'
# set what your volatility...