# Is there any useful links for option pricing (american + asian + european) using R

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 ?

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

library(RQuantLib)
library(ggplot2)
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:

Another useful package is fOptions

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

• Quite an improvement! – Bob Jansen Apr 30 '17 at 7:54
• @BobJansen I have to work hard to improve my reputation :-) – zer0hedge Apr 30 '17 at 7:57