CRReuro {RTL}

Cox-Ross-Rubinstein binomial option model

Description

European option binomial model on a stock without dividends.For academic purpose only. Use RTL::CRRoption for real-life usage.

Usage

CRReuro(S, X, sigma, r, T2M, N, type)

Arguments

S

Stock price. numeric

X

Strike price. numeric

sigma

Implied volatility e.g. 0.20 numeric

r

Risk-free rate. numeric

T2M

Time to maturity in years numeric

N

Number of time steps. Internally dt = T2M/N. numeric

type

"call" or "put" character

Value

List of asset price tree, option value tree and option price. list

Author(s)

Philippe Cote

Examples

CRReuro(S = 100, X = 100, sigma = 0.2, r = 0.1, T2M = 1, N = 5, type = "call")