ShoutLT: Shout option valuation via lattice tree (LT)

In QFRM: Pricing of Vanilla and Exotic Option Contracts

Description

A shout option is a European option where the holder can shout to the writer at one time during its life. At the end of the life of the option, the option holder receives either the usual payoff from a European option or the instrinsic value at the time of the shout, which ever is greater. max(0,S_T-S_tau)+(S_tau-K)

Usage

ShoutLT(o = OptPx(Opt(Style = "Shout")), IncBT = TRUE)

Arguments

o	An object of class OptPx
IncBT	TRUE/FALSE indicating whether to include binomial tree (list object) with output

Value

A list of class ShoutLT consisting of the original OptPx object, binomial tree stepBT and the computed price PxBS.

Author(s)

Le You, 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. http://amzn.com/0133456315

Examples

(o = ShoutLT( OptPx(Opt(Style='Shout'))))$PxLT

o = Opt(Style='Shout', Right='Call', S0=60, ttm=.25, K=60)
ShoutLT( OptPx(o,r=.1, q=.02, vol=.45, NSteps=10))

o = Opt(Style='Shout', Right='Call', S0=60, ttm=.25, K=60)

Example output

[1] 10.27349
$S0
[1] 60

$ttm
[1] 0.25

$K
[1] 60

$Style
$Style$Name
[1] "Shout"

$Style$Vanilla
[1] FALSE

$Style$Exotic
[1] TRUE

$Style$European
[1] FALSE

$Style$American
[1] FALSE

$Style$Asian
[1] FALSE

$Style$Binary
[1] FALSE

$Style$AverageStrike
[1] FALSE

$Style$Barrier
[1] FALSE

$Style$Chooser
[1] FALSE

$Style$Compound
[1] FALSE

$Style$DeferredPayment
[1] FALSE

$Style$ForeignEquity
[1] FALSE

$Style$ForwardStart
[1] FALSE

$Style$Gap
[1] FALSE

$Style$HolderExtendible
[1] FALSE

$Style$Ladder
[1] FALSE

$Style$Lookback
[1] FALSE

$Style$MOPM
[1] FALSE

$Style$Perpetual
[1] FALSE

$Style$Quotient
[1] FALSE

$Style$Rainbow
[1] FALSE

$Style$Shout
[1] TRUE

$Style$SimpleChooser
[1] FALSE

$Style$VarianceSwap
[1] FALSE


$Right
$Right$Name
[1] "Call"

$Right$Call
[1] TRUE

$Right$Put
[1] FALSE

$Right$Other
[1] FALSE

$Right$SignCP
[1] 1


$Curr
[1] "$"

$ContrSize
[1] 100

$SName
[1] "A stock share"

$SSymbol
[1] ""

$r
[1] 0.1

$q
[1] 0.02

$rf
[1] 0

$vol
[1] 0.45

$NSteps
[1] 10

$u
[1] 1.073744

$d
[1] 0.931321

$dt
[1] 0.025

$a
[1] 1.002002

$p
[1] 0.4962765

$SYld
[1] 0.08

$DF_ttm
[1] 0.9753099

$DF_dt
[1] 0.9975031

$PxLT
[1] 5.775511

attr(,"class")
[1] "Opt"   "OptPx"

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