Description Usage Arguments Details Value Note Author(s) References See Also Examples
This function evaluations an Binary option on a common stock using a closed-form solution. The option value as well as the common first derivatives ("Greeks") are returned.
1 2 3 4 | ## Default S3 method:
BinaryOption(binType, type, excType, underlying,
strike, dividendYield,
riskFreeRate, maturity, volatility, cashPayoff)
|
binType |
A string with one of the values |
type |
A string with one of the values |
excType |
A string with one of the values |
underlying |
Current price of the underlying stock |
strike |
Strike price of the option |
dividendYield |
Continuous dividend yield (as a fraction) of the stock |
riskFreeRate |
Risk-free rate |
maturity |
Time to maturity (in fractional years) |
volatility |
Volatility of the underlying stock |
cashPayoff |
Payout amount |
A closed-form solution is used to value the Binary Option.
Please see any decent Finance textbook for background reading, and
the QuantLib
documentation for details on the QuantLib
implementation.
An object of class BinaryOption
(which inherits from class
Option
) is returned. It contains a list with the
following components:
value |
Value of option |
delta |
Sensitivity of the option value for a change in the underlying |
gamma |
Sensitivity of the option delta for a change in the underlying |
vega |
Sensitivity of the option value for a change in the underlying's volatility |
theta |
Sensitivity of the option value for a change in t, the remaining time to maturity |
rho |
Sensitivity of the option value for a change in the risk-free interest rate |
dividendRho |
Sensitivity of the option value for a change in the dividend yield |
parameters |
List with parameters with which object was created |
The interface might change in future release as QuantLib
stabilises its own API.
Dirk Eddelbuettel edd@debian.org for the R interface;
the QuantLib Group for QuantLib
http://quantlib.org for details on QuantLib
.
1 2 3 | BinaryOption(binType="asset", type="call", excType="european",
underlying=100, strike=100, dividendYield=0.02,
riskFreeRate=0.03, maturity=0.5, volatility=0.4, cashPayoff=10)
|
sh: 1: cannot create /dev/null: Permission denied
Concise summary of valuation for BinaryOption
value delta gamma vega theta rho divRho
55.7601 1.9365 0.0060 12.0652 -5.0897 68.9439 -96.8239
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