Description Usage Arguments Value Author(s) References Examples
Pricing of American call option on futures using a binomial approximation
1 | am_call_bin_futures(F, K, r, sigma, t, steps)
|
F |
price of futures contract |
K |
exercise price |
r |
risk-free interest rate |
sigma |
volatility |
t |
time to maturity |
steps |
number of steps in binomial tree |
call_price |
Option price |
Paolo Zagaglia, paolo.zagaglia@gmail.com
John Hull, "Options, Futures and other Derivative Securities", Prentice-Hall, second edition, 1993.
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