The "theoretical" value of a call option at maturity is max(S-K,0).
So, I am wondering if there is any a implementation justification not to put an some extra "if"s to check this corner cases Also, when using this function to calibrate other quantitities (where maturity is a variable) the fact that it gives zero for maturity=0, might have impact in finding max ou min. Thanks On Thu, Apr 17, 2014 at 2:04 PM, Ryan Abbate <[email protected]> wrote: > The reason is that you define the maturity date as zero, even though this > particular option is otherwise in-the-money. Try entering maturity = 1 and > you'll have values that are intuitive. > > Hope this helps. > -Ryan > > > On Thu, Apr 17, 2014 at 8:54 AM, Pedro Baltazar <[email protected]> wrote: >> >> Hello, >> >> why this package gives the value zero, and not (underlying - strike) = >> 50, at maturity? >> >> > EuropeanOption("call", underlying=150, strike=100, dividendYield=0.00, >> > riskFreeRate=0.03, maturity=0.0,volatility=0.2) >> Concise summary of valuation for EuropeanOption >> value delta gamma vega theta rho divRho >> 0 0 0 0 0 0 0 >> >> Thanks >> >> -- >> Pedro Baltazar >> >> _______________________________________________ >> [email protected] 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. > > -- Pedro Baltazar _______________________________________________ [email protected] 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.
