cf_tree_pricing: Pricing options with a multinomial tree

In pedroguarderas/CFINI: Computational finance routines

Pricing options with a multinomial tree

Description

The option pricing can be made with a multinomial tree, this functions can price different types of options

Usage

cf_tree_pricing(Q, EQ, R, S, option = identity, type = "E", option.par = NULL)

Arguments

Q	equivalent discrete martingale measure
EQ	discrete version of the equivalent discrete martingale average
R	term structure of the interest rate, could be a fixed value or a multinomial lattice
S	multinomial tree
option	function defining the option over S
type	option type a character that specifies the king of option, by default 'E' european option, 'A' american option, 'F' futures option, 'S' swap option, 'P' ...
option.par	list of parameter for the option

Value

A list with a tree structure of the asset evolution

Note

Pricing a Forward option is like to price an European option with the identity function regarded as the option

Author(s)

Pedro Guarderas

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