DiscreteDivYield: Calculate Option Price Given Discrete Dividend Yields Via...

In joshuaulrich/greeks: Financial Option Pricing And Manipulation Tools

Description

Calculate the price for an American or European option with a series of discrete dividend yields, using a recombining tree approach as outlined in Haug (2004).

Usage

DiscreteDivYield(type = c("ac", "ap", "ec", "ep"), 
                 S, 
                 X, 
                 T, 
                 r, 
                 v, 
                 n,
                 d, 
                 dT)

Arguments

type
S
X
T
r
v
n
d
dT

Author(s)

Jeffrey A. Ryan adapted from Espen Haug 2004

Examples

DiscreteDivYield('ac',S=100,X=102,T=0.5,r=0.1,v=0.30,n=10,d=0.15,dT=0.4)

# Example table from 9-8 from Haug 2004 p. 394
## Not run: 
# dividend yields
d <- c(0.01, 0.02, 0.05, 0.10, 0.15, 0.20)
# dividend times
dT <- c(0.1, 0.25, 0.4)

ex9_8 <- matrix(ncol=6,nrow=12)

# calls, sigma=0.15
ex9_8[1:6,1:3] <- sapply(dT, function(dT) sapply(d, function(d) DiscreteDivYield('ac', S=100, X=102, T=0.5, r=0.1, n=500, v=0.15, d=d, dT)$OV[[1]]))
# calls, sigma=0.30
ex9_8[1:6,4:6] <- sapply(dT, function(dT) sapply(d, function(d) DiscreteDivYield('ac', S=100, X=102, T=0.5, r=0.1, n=500, v=0.30, d=d, dT)$OV[[1]]))
# puts, sigma=0.15
ex9_8[7:12,1:3] <- sapply(dT, function(dT) sapply(d, function(d) DiscreteDivYield('ap', S=100, X=102, T=0.5, r=0.1, n=500, v=0.15, d=d, dT)$OV[[1]]))
# puts, sigma=0.30
ex9_8[7:12,4:6] <- sapply(dT, function(dT) sapply(d, function(d) DiscreteDivYield('ap', S=100, X=102, T=0.5, r=0.1, n=500, v=0.30, d=d, dT)$OV[[1]]))
ex9_8

## End(Not run)

joshuaulrich/greeks documentation built on May 19, 2019, 8:54 p.m.