optionValue: Option Value

In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager

Description

Estimate the value of an option

Usage

optionValue(option, method = c("Binomial", "Black-Scholes"), N = 20,
  verbose = FALSE, ...)

Arguments

option	an option object created with optionSpec
method	the method used to value the option
N	number of steps in binomial tree
verbose	TRUE/FALSE default FALSE. TRUE prints the node information of the binomial tree
...	any other passthrough parameters

Value

the estimated value of the option

Author(s)

Ross Bennett

Examples

am.call <- optionSpec(style="american", type="call")
am.call.val <- optionValue(am.call, N=4)
euro.call <- optionSpec(style="european", type="call", S0=30, K=30, maturity=1, r=0.05, volatility=0.25, q=0)
euro.call.val.bs <- optionValue(euro.call, method="Black-Scholes")

GARPFRM documentation built on May 2, 2019, 5:45 p.m.