Description Usage Arguments Value Author(s) Examples
Estimate the value of an option
1 2 | optionValue(option, method = c("Binomial", "Black-Scholes"), N = 20,
verbose = FALSE, ...)
|
option |
an |
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 |
the estimated value of the option
Ross Bennett
1 2 3 4 | 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")
|
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