Hi you could use interpolant() of the emulator package, for a Gaussian process approach, or approx() [or appproxfun()] if linear interpolation is acceptable.
HTH Robin On 14 Dec 2006, at 10:20, Bird Fish wrote: > Dear Colleagues > I am a very new member here. If my question sounds silly to you, I > apologize > in advance. > > If I have a complicated function without an explicit expression. ( For > example, the price of American put option p is a function of the > current > stock price S and expected future volatility sigma, but there is no > clean > elementary function that would map (S, sigma) to p, in fact, p has > to be > calculated with a sophisticated procedure. > > In such case, is there a function in R to find sigma, with S and p > known? > Also, is there a way to find the derivative of p with regard to sigma? > > Could anyone please shed some light on it? Your help will be highly > appreciated!!! > > Best > Bird and Fish > ______________________________________________ > R-help@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting- > guide.html > and provide commented, minimal, self-contained, reproducible code. -- Robin Hankin Uncertainty Analyst National Oceanography Centre, Southampton European Way, Southampton SO14 3ZH, UK tel 023-8059-7743 ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.