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)
An object of class
A list of class
ShoutLT consisting of the original
binomial tree step
BT and the computed price
Le You, Department of Statistics, Rice University, Spring 2015
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