Binary_BOPM {QFRM} | R Documentation |
Binary option valuation vialattice tree (LT) implementation
Description
Compute option price via binomial option pricing model (recombining symmetric binomial tree)
Usage
Binary_BOPM(o = OptPx(Opt(Style = "Binary")), Type = c("cash-or-nothing",
"asset-or-nothing"), Q = 1000, IncBT = FALSE)
Arguments
o |
|
Type |
Binary option type: |
Q |
A fixed amount of payoff |
IncBT |
TRUE/FALSE, indicates whether to include the full binomial tree in the returned object |
Value
original OptPx
object with Px.BOPM
property and (optional) binomial tree
IncBT = FALSE: option price value (type double, class numeric)
IncBT = TRUE: binomial tree as a list (of length (o$n+1) of numeric matrices (2 x i).
Each matrix is a set of possible i outcomes at time step i
columns: (underlying prices, option prices)
Examples
(o = Binary_BOPM())$PxBT
o = OptPx(o=Opt(Style='Binary'))
(o = Binary_BOPM(o, Type='cash', Q=100, IncBT=TRUE))$PxBT
o = OptPx(Opt(Style='Binary'), r=0.05, q=0.02, rf=0.0, vol=0.30, NSteps=5)
(o = Binary_BOPM(o, Type='cash', Q=1000, IncBT=FALSE))$PxBT
o = OptPx(o=Opt(Style='Binary'), r=0.15, q=0.01, rf=0.05, vol=0.35, NSteps=5)
(o = Binary_BOPM(o,Type='asset',Q=150, IncBT=FALSE))$PxBT
o = OptPx(o=Opt(Style='Binary'), r=0.025, q=0.001, rf=0.0, vol=0.10, NSteps=5)
(o = Binary_BOPM(o, Type='cash', Q=20, IncBT=FALSE))$PxBT
[Package QFRM version 1.0.1 Index]