Description Usage Arguments Value Author(s) References Examples
View source: R/DeferredPayment.R
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.
1 | DeferredPaymentLT(o = OptPx(Opt(Style = "DeferredPayment")))
|
o |
An object of class |
An object of class OptPx
with price included
Max Lee, Department of Statistics, Rice University, Spring 2015
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
1 2 3 4 5 6 7 | (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
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