RiskNeutralProb: Binomial tree risk-neutral probability
In grfiv/ustreasuries: Treasury Data Download, Fixed-Income Models and Derivative Analyses
Description
Usage
Arguments
Value
Author(s)
References
View source: R/BSM_utilities.R
Description
Binomial tree risk-neutral probability
Usage
1
RiskNeutralProb(Interest, Yield, sigma, deltaT)
Arguments
Interest
r, the risk-free rate; the asset's expected yield
Yield
q, the asset's actual yield
sigma
the asset's price volatility
deltaT
time interval
Value
p, the risk-neutral probability
Author(s)
George Fisher GeorgeRFisher@gmail.com
References
Hull 7th edition Ch 19 P 409
grfiv/ustreasuries documentation built on May 17, 2019, 8:36 a.m.
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Description Usage Arguments Value Author(s) References
View source: R/BSM_utilities.R
Description
Binomial tree risk-neutral probability
Usage
1 | RiskNeutralProb(Interest, Yield, sigma, deltaT)
|
Arguments
Interest |
r, the risk-free rate; the asset's expected yield |
Yield |
q, the asset's actual yield |
sigma |
the asset's price volatility |
deltaT |
time interval |
Value
p, the risk-neutral probability
Author(s)
George Fisher GeorgeRFisher@gmail.com
References
Hull 7th edition Ch 19 P 409
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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