Description Usage Arguments Details Value Author(s) References Examples

Pricing of an American call option with continuous payout from the underlying asset using a binomial approximation

1 | ```
am_call_bin_contpay(S, K, r, y, sigma, t, steps)
``` |

`S` |
spot price |

`K` |
exercise price |

`r` |
risk-free interest rate |

`y` |
continuous payout |

`sigma` |
volatility |

`t` |
time to maturity |

`steps` |
number of steps in binomial tree |

With this type of option, the underlying asset provides payouts at each period in time. The payoff structure simplifies the computation to a major extent and makes this a case similar to the one of pricing through Black-Scholes.

`call_price ` |
Option price |

Paolo Zagaglia, paolo.zagaglia@gmail.com

John Hull, "Options, Futures and other Derivative Securities", Prentice-Hall, second edition, 1993.

1 2 3 4 5 6 7 8 9 10 11 |

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