RTL (version 1.0.0)

CRReuro: Cox-Ross-Rubinstein binomial option model

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")
# }