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getdelim
2013 Apr 13
0
help on smoothing volatility surface..
...olatility,
timeSteps=150, gridPoints=151) {
AmericanOptionImpliedVolatility(type, value,
underlying, strike,dividendYield,
riskFreeRate, 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,...