AmericanCallOpt: This package includes pricing function for selected American call options with underlying assets that generate payouts.

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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.

Author
Paolo Zagaglia
Date of publication
2012-03-04 15:32:00
Maintainer
Paolo Zagaglia <paolo.zagaglia@gmail.com>
License
GPL-3
Version
0.95

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Man pages

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...

Files in this package

AmericanCallOpt
AmericanCallOpt/MD5
AmericanCallOpt/R
AmericanCallOpt/R/AmericanCallOpt.R
AmericanCallOpt/NAMESPACE
AmericanCallOpt/man
AmericanCallOpt/man/AmericanCallOpt-package.Rd
AmericanCallOpt/man/am_call_perpetual.Rd
AmericanCallOpt/man/am_call_partials.Rd
AmericanCallOpt/man/am_call_bin_propdiv.Rd
AmericanCallOpt/man/am_call_bin_futures.Rd
AmericanCallOpt/man/am_call_bin_currency.Rd
AmericanCallOpt/man/am_call_bin_contpay.Rd
AmericanCallOpt/man/am_call_bin.Rd
AmericanCallOpt/DESCRIPTION
AmericanCallOpt/demo
AmericanCallOpt/demo/example.R
AmericanCallOpt/demo/00Index