GapLT: Gap option valuation via lattice tree (LT) model

Description Usage Arguments Value Author(s) References Examples

View source: R/Gap.R

Description

A binomial tree pricer of Gap options that takes the average results for given step sizes in NSteps. Large step sizes should be used for optimal accuracy but may take a minute or so.

Usage

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GapLT(o = OptPx(Opt(Style = "Gap")), K2 = 60, on = c(100, 200))

Arguments

o

An object of class OptPx

K2

A numeric strike price above used in calculating if option is in the money or not, known as trigger.

on

A vector of number of steps to be used in binomial tree averaging, vector of positive intergers.

Value

An onject of class OptPx including price

Author(s)

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

References

Hull, John 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.
Humphreys, Natalia. University of Dallas.

Examples

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(o = GapLT())$PxLT

o = Opt(Style="Gap",Right='Put',S0 = 500000, ttm = 1,K = 400000)
o = OptPx(o,r = .05, q=0, vol =.2)
(o = GapLT(o,K2 = 350000,on=c(498,499,500,501,502)))$PxLT

o = Opt(Style="Gap", Right='Call',S0 = 65, ttm = 1,K = 70)
o = OptPx(o,r = .05, q=.02,vol =.1)

QFRM documentation built on May 29, 2017, 10:12 p.m.

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