optionValue: Option Value

Description Usage Arguments Value Author(s) Examples

Description

Estimate the value of an option

Usage

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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

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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.

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