Description Usage Details Value Author(s) References See Also

View source: R/stockoptiontreegui.R

Function to plot a Binomial stock Tree

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The user inputs are as follows:

Type of Option: chosen between Call/Put

Exercise style: chosen between European/American

Stock Price: to be entered in numbers for e.g. 120.50

Strike price: to be entered in numbers for e.g. 110.50

Time in number of years: to be entered in decimals. For e.g. 0.25 for a quarter year

Volatility(or sigma) per annum: to be entered in decimals. For e.g. 0.25 for 25 percent

Risk free rate per annum: to be entered in percent. For e.g. enter 5.0 for 5 percent

u: up move factor- to be entered in decimals. For e.g. 1.25

d: down move factor- to be entered in decimals. For e.g. 0.80

q: probability of up move- to be entered in decimals. For e.g. 0.60

Dividend yield: to be entered in decimals. For e.g. 0.02 for 2 percent

No of steps: Clicking on the '+' and '-' respectively increases and decreases the value.

Plot type: chosen between Stock tree / option tree

A plot of Stock Tree / Option Tree with user specified parameters.

S Subramanian <[email protected]>

John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.

GUIDE documentation built on May 29, 2017, 5:29 p.m.

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