Theoretically greeks at maturity do not exist. If you want this, then you could just write your own if statement: value = max(S-K,0), delta = ifelse(S>K,1,0), gamma = ifelse(S=K, Inf, 0), vega = 0, theta =0?, rho = 0, divRho = 0
Kind regards,-- Dominykas Grigonis On Thursday, 17 April 2014 at 14:14, Pedro Baltazar wrote: > 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 <ryan.abb...@gmail.com > (mailto:ryan.abb...@gmail.com)> 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 <pedro...@gmail.com > > (mailto:pedro...@gmail.com)> 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 > > > > > > _______________________________________________ > > > R-SIG-Finance@r-project.org (mailto:R-SIG-Finance@r-project.org) 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 > > _______________________________________________ > R-SIG-Finance@r-project.org (mailto:R-SIG-Finance@r-project.org) 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. > > [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org 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.
