ShoutLTVectorized: 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

ShoutLTVectorized(o = OptPx(o = Opt(Style = "Shout")))

Arguments

o	An object of class OptPx

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

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

o = Opt(Style='Shout')
(o = ShoutLTVectorized( OptPx(o, r=.1, q=.02, vol=.45, NSteps=10)))$PxLT

Example output

[1] 10.27349
[1] 14.1388

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