Description Usage Arguments Value Author(s) Examples
Compound option valuation with Black-Scholes (BS) model
1 2 | CompoundBS(o = OptPx(Opt(Style = "Compound")), K1 = 10, T1 = 0.5,
Type = c("cc", "cp", "pp", "pc"))
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o |
= |
K1 |
The first Strike Price (of the option on the option) |
T1 |
The time of first expiry (of the option on the option) |
Type |
Possible choices are
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A list of object 'OptCompound' containing the option parameters binomial tree parameters and compound option parameters
Robert Abramov
1 2 3 4 5 6 7 8 9 10 11 12 13 | (o <- CompoundBS())$PxBS #price compound option with default parameters
o = OptPx(Opt(Style='Compound'), r=0.05, q=0.0, vol=0.25)
CompoundBS(o,K1=10,T1=0.5)
o = Opt(Style='Compound', S0=50, K=52, ttm=1)
CompoundBS(o=OptPx(o, r=.05, q=0, vol=.25),K1=6,T1=1.5)
o = Opt(Style='Compound', S0=90, K=100, ttm=1.5)
CompoundBS(o=OptPx(o, r=.05, q=0, vol=.25),K1=15,T1=1)
o = Opt(Style='Compound', S0=15, K=15, ttm=0.25)
CompoundBS(o=OptPx(o, r=.05, q=0, vol=.25),K1=3,T1=1.5)
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