RTL (version 0.1.5)

CRReuro: CRReuro

Description

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

Usage

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

Arguments

S

Stock price.

X

Strike price.

sigma

Implied volatility e.g. 0.20

r

Risk-free rate.

T2M

Time to maturity in years

N

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

type

"call" or "put"

Value

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

Examples

# NOT RUN {
CRReuro(S=100,X=100,sigma=0.2,r=0.1,T2M=1,N=5,type="call")
# }