Showing posts with label BinomialTreeOption. Show all posts
Showing posts with label BinomialTreeOption. Show all posts

Sunday, November 24, 2019

BinomialTreeOption

BinomialTreeOption

> CRRTree = BinomialTreeOption(TypeFlag = "pa", S = 50, X = 50,
+                              Time = 0.4167, r = 0.1, b = 0.1, sigma = 0.4, n = 5)
> BinomialTreePlot(CRRTree, dy = 1, cex = 0.8, ylim = c(-6, 7),
+                  xlab = "n", ylab = "Option Value")
> title(main = "Option Tree")
BinomialTreeOption

Black-Scholes formula-R

 Black-Scholes formula-R > BlackScholes <- function(TypeFlag = c("c", "p"), S, X, Time, r, b, sigma) { TypeFla...