diff --git a/R/Malliavin_Geometric_Asian_Greeks.R b/R/Malliavin_Geometric_Asian_Greeks.R index fbb7dce..15caaa2 100644 --- a/R/Malliavin_Geometric_Asian_Greeks.R +++ b/R/Malliavin_Geometric_Asian_Greeks.R @@ -87,16 +87,10 @@ Malliavin_Geometric_Asian_Greeks <- function( payoff <- function(x, exercise_price) { return(pmax(0, x - exercise_price)) } - dpayoff <- function(x, exercise_price) { - return((x > exercise_price) + 0) - } } else if (payoff == "put") { payoff <- function(x, exercise_price) { return(pmax(0, exercise_price - x)) } - dpayoff <- function(x, exercise_price) { - return(-(x < exercise_price) + 0) - } } else if (payoff == "digital_call") { payoff <- function(x, exercise_price) {ifelse(x >= exercise_price, 1, 0) }