BinaryTreeCalls: Function that prices a Call via Binary Tree
In pcalls: Pricing of Different Types of Call
Description
Usage
Arguments
Details
Value
Warning
Author(s)
References
Examples
View source: R/BinaryTreeCalls.R
Description
The Binomial Option Pricing Model is a method which uses an iterative procedure to evaluate options. Based on a discrete time interval and a multi-period approach, the model evaluates each time the option generating an upward or downward movement of the underlying price. In each node the price of the option can take only two values: the first one corresponds to the probability that the price of the option goes up whereas the second one corresponds to the probability that the price drops.
Usage
1
BinaryTreeCalls(s0, k, r, vol, deltaT, nsteps)
Arguments
s0
stock price at time 0
k
strike price
r
annual interest rate
vol
annual volatility
deltaT
time variation in years
nsteps
number of steps
Details
No details
Value
Price of the call
Warning
All input values must be stricly positive.
Author(s)
Degiorgi Elia, Milan Federico, Zaramella Davide, Stoeva Valerija
References
"Option Pricing Using Different Techniques" by Degiorgi Elia, Milan Federico, Zaramella Davide, Stoeva Valerija (2019)
Examples
1
BinaryTreeCalls(10,11,0.05,0.2,0.01,100) # 0.6053225
pcalls documentation built on May 2, 2020, 5:05 p.m.
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Description Usage Arguments Details Value Warning Author(s) References Examples
View source: R/BinaryTreeCalls.R
Description
The Binomial Option Pricing Model is a method which uses an iterative procedure to evaluate options. Based on a discrete time interval and a multi-period approach, the model evaluates each time the option generating an upward or downward movement of the underlying price. In each node the price of the option can take only two values: the first one corresponds to the probability that the price of the option goes up whereas the second one corresponds to the probability that the price drops.
Usage
1 | BinaryTreeCalls(s0, k, r, vol, deltaT, nsteps)
|
Arguments
s0 |
stock price at time 0 |
k |
strike price |
r |
annual interest rate |
vol |
annual volatility |
deltaT |
time variation in years |
nsteps |
number of steps |
Details
No details
Value
Price of the call
Warning
All input values must be stricly positive.
Author(s)
Degiorgi Elia, Milan Federico, Zaramella Davide, Stoeva Valerija
References
"Option Pricing Using Different Techniques" by Degiorgi Elia, Milan Federico, Zaramella Davide, Stoeva Valerija (2019)
Examples
1 | BinaryTreeCalls(10,11,0.05,0.2,0.01,100) # 0.6053225
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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