Description Usage Arguments Value Author(s) References Examples
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.
1 |
o |
An object of class |
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. |
An onject of class OptPx
including price
Max Lee, Department of Statistics, Rice University, Spring 2015
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.
1 2 3 4 5 6 7 8 |
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.