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
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2 messages · Bird Fish, robin hankin
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
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