AmericanPutESBinomial {Dowd} | R Documentation |

## Estimates ES of American vanilla put using binomial tree.

### Description

Estimates ES of American Put Option using binomial tree to price the option and historical method to compute the VaR.

### Usage

```
AmericanPutESBinomial(amountInvested, stockPrice, strike, r, volatility,
maturity, numberSteps, cl, hp)
```

### Arguments

`amountInvested` |
Total amount paid for the Put Option. |

`stockPrice` |
Stock price of underlying stock. |

`strike` |
Strike price of the option. |

`r` |
Risk-free rate. |

`volatility` |
Volatility of the underlying stock. |

`maturity` |
Time to maturity of the option in days. |

`numberSteps` |
The number of time-steps considered for the binomial model. |

`cl` |
Confidence level for which VaR is computed. |

`hp` |
Holding period of the option in days. |

### Value

ES of the American Put Option

### 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

```
# Market Risk of American Put with given parameters.
AmericanPutESBinomial(0.20, 27.2, 25, .16, .05, 60, 20, .95, 30)
```

[Package

*Dowd*version 0.12 Index]