BinaryBS {QFRM} | R Documentation |
Binary option valuation with Black-Scholes (BS) model
Description
S3 object pricing model for a binary option.
Two types of binary options are priced: 'cash-or-nothing'
and 'asset-or-nothing'
.
Usage
BinaryBS(o = OptPx(Opt(Style = "Binary")), Q = 1,
Type = c("cash-or-nothing", "asset-or-nothing"))
Arguments
o |
An object of class |
Q |
A fixed amount of payoff |
Type |
Binary option type: 'Cash or Nothing' or 'Asset or Nothing'.
Partial names are allowed, eg. |
Value
A list of class Binary.BS
consisting of the input object OptPx
and the appended new parameters and option price.
Author(s)
Xinnan Lu, Department of Statistics, Rice University, Spring 2015
References
Hull, John C., Options, Futures and Other Derivatives, 9ed, 2014. Prentice Hall. ISBN 978-0-13-345631-8, http://www-2.rotman.utoronto.ca/~hull/ofod/index.html. pp.606-607
Examples
(o = BinaryBS())$PxBS
#This example should produce price 4.33 (see Derivagem, DG201.xls)
o = Opt(Style="Binary", Right='Call', S0=50, ttm=5/12, K=52)
o = OptPx(o, r=.1, vol=.40, NSteps=NA)
(o = BinaryBS(o, Q = 10, Type='cash-or-nothing'))$PxBS
BinaryBS(OptPx(Opt(Style="Binary"), q=.01), Type='asset-or-nothing')
BinaryBS(OptPx(Opt(Style="Binary", S0=100, K=80),q=.01))
o = Opt(Style="Binary", Right="Put", S0=50, K=60)
BinaryBS(OptPx(o,q=.04), Type='asset-or-nothing')
[Package QFRM version 1.0.1 Index]