This package includes a set of pricing functions for American call options. The following cases are covered: Pricing of an American call using the standard binomial approximation; Hedge parameters for an American call with a standard binomial tree; Binomial pricing of an American call with continuous payout from the underlying asset; Binomial pricing of an American call with an underlying stock that pays proportional dividends in discrete time; Pricing of an American call on futures using a binomial approximation; Pricing of a currency futures American call using a binomial approximation; Pricing of a perpetual American call. The user should kindly notice that this material is for educational purposes only. The codes are not optimized for computational efficiency as they are meant to represent standard cases of analytical and numerical solution.
|Date of publication||2012-03-04 15:32:00|
|Maintainer||Paolo Zagaglia <email@example.com>|
am_call_bin: Binomial pricing of a standard American call
am_call_bin_contpay: Binomial option price with continuous payout from the...
am_call_bin_currency: Binomial pricing of an American call on currency futures
am_call_bin_futures: Binomial pricing of a futures American call
am_call_bin_propdiv: Binomial price of an American call with an underlying stock...
am_call_partials: Hedge parameters of a standard American call option using a...
am_call_perpetual: Analytical pricing of an American perpetual call
AmericanCallOpt-package: Pricing of selected American call options with payoff from...
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