Description Usage Arguments Value Author(s) References Examples
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)
1 | ShoutLTVectorized(o = OptPx(o = Opt(Style = "Shout")))
|
o |
An object of class |
A list of class ShoutLT
consisting of the original OptPx
object,
binomial tree step BT
and the computed price PxBS
.
Le You, Department of Statistics, Rice University, Spring 2015
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
1 2 3 4 | (o = ShoutLTVectorized( OptPx(Opt(Style='Shout'))))$PxLT
o = Opt(Style='Shout')
(o = ShoutLTVectorized( OptPx(o, r=.1, q=.02, vol=.45, NSteps=10)))$PxLT
|
[1] 10.27349
[1] 14.1388
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