DeferredPaymentLT: DeferredPaymentLT

In QFRM: Pricing of Vanilla and Exotic Option Contracts

Description

A binomial tree pricer of a Deferred Payment option. An American option that has payment at expiry no matter when exercise, causing differences in present value (PV) of a payoff.

Usage

DeferredPaymentLT(o = OptPx(Opt(Style = "DeferredPayment")))

Arguments

o	An object of class OptPx

Value

An object of class OptPx with price included

Author(s)

Max Lee, Department of Statistics, Rice University, Spring 2015

References

Hull, J.C., Options, Futures and Other Derivatives, 9ed, 2014. Prentice Hall. ISBN 978-0-13-345631-8, http://www-2.rotman.utoronto.ca/~hull/ofod/index.html

Examples

(o = DeferredPaymentLT())$PxLT

o = Opt(Style='DeferredPayment', Right="Call", S0=110,ttm=.5,K=110)
(o = DeferredPaymentLT(OptPx(o,r=.05,q=.04,vol=.2,NSteps=5)))$PxLT

o = Opt(Style='DeferredPayment', Right="Put", S0 = 50, ttm=2,K=47)
(o = DeferredPaymentLT(OptPx(o,r=.05,q=.04,vol=.25,NSteps=3)))$PxLT

QFRM documentation built on May 2, 2019, 8:26 a.m.