AmericanOption-class: A standard option contract allowing for _early_ exercise at...

Description Methods

Description

A standard option contract allowing for early exercise at the choice of the option holder

Methods

optionality_fcn(v, ...)

Return a version of v at time t corrected for any optionality conditions.

recovery_fcn(v, S, t, ...)

Return recovery value, given non-default values v at time t. Subclasses may be more elaborate, this method simply returns 0.0.


ragtop documentation built on May 29, 2017, 2:53 p.m.

Search within the ragtop package
Search all R packages, documentation and source code