# 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

 `1` ```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 step`BT` 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

 ```1 2 3 4 5 6``` ```(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

[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.