BOPM_Eu {QFRM}

European option valuation (vectorized computation).

Description

A helper function to price European options via a vectorized (fast, memory efficient) approach.

Usage

BOPM_Eu(o = OptPx())

Arguments

o

An OptPx object

Value

A list of class OptPx with an element PxBT, which is an option price value (type double, class numeric)

Author(s)

Oleg Melnikov, Department of Statistics, Rice University, Spring 2015 Code adopted Gilli & Schumann's R implementation to Opt* objects

References

Gili, M. and Schumann, E. (2009) Implementing Binomial Trees, COMISEF Working Papers Series

See Also

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1341181 for original paper, BOPM for American option pricing.

Examples

#Fig.13.11, Hull/9e/p291:
o = Opt(Style='European', Right='Call', S0=810, ttm=.5, K=800)
(o <- BOPM_Eu( OptPx(o, r=.05, q=.02, vol=.2, NSteps=2)))$PxBT

o = Opt('Eu', 'C', 0.61, .5, 0.6, SName='USD/AUD')
o = OptPx(o, r=.05, q=.02, vol=.12, NSteps=2)
(o <- BOPM_Eu(o))$PxBT