dcallbt: Binary Tree Pricing of Call Options (Discrete Compound...

In czxa/FMFE: Options and Futures in Financial Mathematics and Financial Engineering

Description

The function uses a binary tree to price European options, and finally draws a binary tree and the price of return options.

Usage

dcallbt(S = 4, K = 5, r = 1/4, u = 2, d = 1/2, T = 3, l = 1)

Arguments

S	Current stock price, default value is 4
K	Current stock price, default value is 4 executive price, default value is 5.
r	Risk-free interest rate, default value is 0.25.
u	up ratio.
d	down ratio.
T	Option maturity, default value is 3.
l	The default length of each period in a binary tree is 1, that is, the default duration of a binary tree is 3 periods.

References

OTS package, WangXu [e-mail]

See Also

callbt

Examples

dcallbt(S = 4, K = 5, r = 1/4, u = 2, d = 1/2, T = 3, l = 1)
dcallbt(S = 41, K = 50, r = 1/4, u = 2, d = 1/2, T = 3, l = 1)

czxa/FMFE documentation built on Nov. 6, 2019, 4:58 a.m.