CRReuro: Cox-Ross-Rubinstein binomial option model
In risktoollib/RTL: Risk Tool Library - Trading, Risk, 'Analytics' for Commodities
CRReuro R Documentation
Cox-Ross-Rubinstein binomial option model
Description
European option binomial model on a stock without dividends.For academic purpose only.
Use RTL::CRRoption for real-life usage.
Usage
CRReuro(S, X, sigma, r, T2M, N, type)
Arguments
S
Stock price. numeric
X
Strike price. numeric
sigma
Implied volatility e.g. 0.20 numeric
r
Risk-free rate. numeric
T2M
Time to maturity in years numeric
N
Number of time steps. Internally dt = T2M/N. numeric
type
"call" or "put" character
Value
List of asset price tree, option value tree and option price. list
Author(s)
Philippe Cote
Examples
CRReuro(S = 100, X = 100, sigma = 0.2, r = 0.1, T2M = 1, N = 5, type = "call")
risktoollib/RTL documentation built on April 17, 2024, 1:35 p.m.
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| CRReuro | R Documentation |
Cox-Ross-Rubinstein binomial option model
Description
European option binomial model on a stock without dividends.For academic purpose only. Use RTL::CRRoption for real-life usage.
Usage
CRReuro(S, X, sigma, r, T2M, N, type)
Arguments
S |
Stock price. |
X |
Strike price. |
sigma |
Implied volatility e.g. 0.20 |
r |
Risk-free rate. |
T2M |
Time to maturity in years |
N |
Number of time steps. Internally dt = T2M/N. |
type |
"call" or "put" |
Value
List of asset price tree, option value tree and option price. list
Author(s)
Philippe Cote
Examples
CRReuro(S = 100, X = 100, sigma = 0.2, r = 0.1, T2M = 1, N = 5, type = "call")
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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