# GapLT: Gap option valuation via lattice tree (LT) model In QFRM: Pricing of Vanilla and Exotic Option Contracts

## 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

 `1` ```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

 ```1 2 3 4 5 6 7 8``` ```(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.