AmericanPutPriceBinomial: Binomial Put Price
In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk
Description
Usage
Arguments
Value
Author(s)
References
Examples
Description
Estimates the price of an American Put, using the binomial approach.
Usage
1
AmericanPutPriceBinomial(stockPrice, strike, r, sigma, maturity, numberSteps)
Arguments
stockPrice
Stock price of underlying stock
strike
Strike price of the option
r
Risk-free rate
sigma
Volatility of the underlying stock and is in annualised
term
maturity
The term to maturity of the option in days
numberSteps
The number of time-steps in the binomial tree
Value
Binomial American put price
Author(s)
Dinesh Acharya
References
Dowd, Kevin. Measuring Market Risk, Wiley, 2007.
Lyuu, Yuh-Dauh. Financial Engineering & Computation: Principles,
Mathematics, Algorithms, Cambridge University Press, 2002.
Examples
1
2
# Estimates the price of an American Put
AmericanPutPriceBinomial(27.2, 25, .03, .2, 60, 30)
Dowd documentation built on May 2, 2019, 6:15 p.m.
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Description Usage Arguments Value Author(s) References Examples
Description
Estimates the price of an American Put, using the binomial approach.
Usage
1 | AmericanPutPriceBinomial(stockPrice, strike, r, sigma, maturity, numberSteps)
|
Arguments
stockPrice |
Stock price of underlying stock |
strike |
Strike price of the option |
r |
Risk-free rate |
sigma |
Volatility of the underlying stock and is in annualised term |
maturity |
The term to maturity of the option in days |
numberSteps |
The number of time-steps in the binomial tree |
Value
Binomial American put price
Author(s)
Dinesh Acharya
References
Dowd, Kevin. Measuring Market Risk, Wiley, 2007.
Lyuu, Yuh-Dauh. Financial Engineering & Computation: Principles, Mathematics, Algorithms, Cambridge University Press, 2002.
Examples
1 2 | # Estimates the price of an American Put
AmericanPutPriceBinomial(27.2, 25, .03, .2, 60, 30)
|
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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