cf_lattice: Multinomial lattice

In pedroguarderas/CFINI: Computational finance routines

Multinomial lattice

Description

The option pricing can be made with a multinomial lattice, this functions can generate such a lattice with aid of some give parameters.

Usage

cf_lattice(N, U, S0)

Arguments

N	number of periods for the multinomial model
U	vector of changes
S0	initial price

Value

A list with a tree structure of the asset evolution

Author(s)

Pedro Guarderas [e-mail]

Examples

s <- 0.3
T <- 0.25
N <- 15
u <- exp( s * sqrt( T / N ) )
d <- 1/u
r <- 0.02
S0 <- 100
R <- exp( r * T / N )
q <- ( R - d ) / ( u - d )
U <- c( d, u )
S <- cf_lattice( N, U, S0 )

pedroguarderas/CFINI documentation built on Feb. 16, 2024, 2:17 p.m.