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"