EuropeanOption-class: A standard option contract
In ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes
Description
At maturity, the call option holder will "exercise", i.e. choose stock, with value S, if the
stock price is above the strike K, paying K to the option issuer,
realizing value S-K. The put option holder will exercise, receiving K while surrendering
stock worth S, if the stock price is below K.
Details
Therefore the value at maturity is equal to max(0,callput*(S-K))
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 March 26, 2020, 7:28 p.m.
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Description
At maturity, the call option holder will "exercise", i.e. choose stock, with value S, if the
stock price is above the strike K, paying K to the option issuer,
realizing value S-K. The put option holder will exercise, receiving K while surrendering
stock worth S, if the stock price is below K.
Details
Therefore the value at maturity is equal to max(0,callput*(S-K))
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.
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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