Description Usage Arguments References See Also Examples
The function uses a binary tree to price European options, and finally draws a binary tree and the price of return options.
1 | dputbt(S = 4, K = 5, r = 1/4, u = 2, d = 1/2, T = 3, l = 1)
|
S |
Current stock price, default value is 4 |
K |
Execution price, default value is 5 |
r |
Risk-free interest rate, default value is 0.25 |
u |
up ratio, default value if 2 |
d |
down ratio, default value if 1/2 |
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. |
OTS package, WangXu seniorwangxu@sina.com
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