AmericanCallOpt: This package includes pricing function for selected American
call options with underlying assets that generate payouts
This package includes a set of pricing functions for
American call options. The following cases are covered: Pricing
of an American call using the standard binomial approximation;
Hedge parameters for an American call with a standard binomial
tree; Binomial pricing of an American call with continuous
payout from the underlying asset; Binomial pricing of an
American call with an underlying stock that pays proportional
dividends in discrete time; Pricing of an American call on
futures using a binomial approximation; Pricing of a currency
futures American call using a binomial approximation; Pricing
of a perpetual American call. The user should kindly notice
that this material is for educational purposes only. The codes
are not optimized for computational efficiency as they are
meant to represent standard cases of analytical and numerical
solution.
| Version: |
0.95 |
| Depends: |
R (≥ 2.0.0) |
| Published: |
2012-03-04 |
| Author: |
Paolo Zagaglia |
| Maintainer: |
Paolo Zagaglia <paolo.zagaglia at gmail.com> |
| License: |
GPL-3 |
| NeedsCompilation: |
no |
| In views: |
Finance |
| CRAN checks: |
AmericanCallOpt results |
Documentation:
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