I'm trying to evaluate option pricing mainly american, asian and european options in order to get a plot to measure option valuation in time. Is there any useful references to do that using R ?


1 Answer 1


Below is an example of how you could plot a "call" option value with RQuantLib:

call_price <- sapply(seq(365,0,-1), function(x) AmericanOption("call", 100, 100, 0.2, 0.03, x/365, 0.4)$value)
qplot(day, call_price, data=data.frame(day=0:365, call_price=call_price), geom="line")

The code output:

enter image description here

Another useful package is fOptions

There is also a book "Option Pricing and Estimation of Financial Models with R"

  • $\begingroup$ Quite an improvement! $\endgroup$
    – Bob Jansen
    Apr 30, 2017 at 7:54
  • $\begingroup$ @BobJansen I have to work hard to improve my reputation :-) $\endgroup$
    – zer0hedge
    Apr 30, 2017 at 7:57

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