search for: europeanoptionarrays

I am trying to replicate part of the EuropeanOptionExample using my date. I have a data.frame containing all my inputs atm.vols<-subset(data.vols,moneyness==min); #Some days have the abs(moneyness) exactly between two strike prices, #Traders will alway price an option at the higher vol when selling it, so we will too.

...with print and summary methods, and European and American options on top of them. Binary Options are also available for the option calculator. I opted for (named) lists as input and output types. These functions are "scalar" and operate on one option at a time. One other cute function is EuropeanOptionArrays which allows for vectors of any of the numeric input variables, and returns an appropriate multidimensional array of all possible valuation combinations. The example() function plots a few combinations. The package, and well as a little more documentation, is also at http://dirk.eddelbuettel....