CRReuro

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

A toolkit for Commodities 'analytics', risk management and
trading professionals. Includes functions for API calls to
<https://commodities.morningstar.com/#/>, <https://developer.genscape.com/>,
and <https://www.bankofcanada.ca/valet/docs>.

Philippe Cote

Risk Tool Library - Trading, Risk, Analytics for Commodities

Nima Safaian

CRReuro function

<dl><dt>S</dt>
<dd>Stock price. <code>numeric</code></dd>
<dt>X</dt>
<dd>Strike price. <code>numeric</code></dd>
<dt>sigma</dt>
<dd>Implied volatility e.g. 0.20 <code>numeric</code></dd>
<dt>r</dt>
<dd>Risk-free rate. <code>numeric</code></dd>
<dt>T2M</dt>
<dd>Time to maturity in years <code>numeric</code></dd>
<dt>N</dt>
<dd>Number of time steps. Internally dt = T2M/N. <code>numeric</code></dd>
<dt>type</dt>
<dd>"call" or "put" <code>character</code></dd></dl>

Arguments

Author

Cox-Ross-Rubinstein binomial option model — CRReuro

<dl>

<dt>S</dt>
<dd>Stock price. <code>numeric</code></dd>


<dt>X</dt>
<dd>Strike price. <code>numeric</code></dd>


<dt>sigma</dt>
<dd>Implied volatility e.g. 0.20 <code>numeric</code></dd>


<dt>r</dt>
<dd>Risk-free rate. <code>numeric</code></dd>


<dt>T2M</dt>
<dd>Time to maturity in years <code>numeric</code></dd>


<dt>N</dt>
<dd>Number of time steps. Internally dt = T2M/N. <code>numeric</code></dd>


<dt>type</dt>
<dd>"call" or "put" <code>character</code></dd>

</dl>

CRReuro: Cox-Ross-Rubinstein binomial option model

Description

Usage

Value

Arguments

Author

Examples