A workaround is instead of maturity =0, pass something very close to zero e.g. maturity=1e-14
Cheers Krishna > On 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. _______________________________________________ [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.
