Description Usage Arguments Details Value Author(s) References Examples
Pricing of an American perpetual call option using an analytical formula
1 | am_call_perpetual(S, K, r, y, sigma)
|
S |
spot price |
K |
exercise price |
r |
risk-free interest rate |
y |
dividend yield from underlying asset |
sigma |
volatility |
A perpetual option is one with no maturity date. This obviously applies only to the case of American-style options. Analytical formulas are available in this case both for call and put options.
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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