BOPM_Eu: European option valuation (vectorized computation).
In QFRM: Pricing of Vanilla and Exotic Option Contracts

Description Usage Arguments Value Author(s) References See Also Examples

A helper function to price European options via a vectorized (fast, memory efficient) approach.

1	BOPM_Eu(o = OptPx())

`o`	An `OptPx` object

A list of class OptPx with an element PxBT, which is an option price value (type double, class numeric)

Oleg Melnikov, Department of Statistics, Rice University, Spring 2015 Code adopted Gilli & Schumann's R implementation to Opt* objects

Gili, M. and Schumann, E. (2009) Implementing Binomial Trees, COMISEF Working Papers Series

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1341181 for original paper, BOPM for American option pricing.

#Fig.13.11, Hull/9e/p291:
o = Opt(Style='European', Right='Call', S0=810, ttm=.5, K=800)
(o <- BOPM_Eu( OptPx(o, r=.05, q=.02, vol=.2, NSteps=2)))$PxBT

o = Opt('Eu', 'C', 0.61, .5, 0.6, SName='USD/AUD')
o = OptPx(o, r=.05, q=.02, vol=.12, NSteps=2)
(o <- BOPM_Eu(o))$PxBT