Functions at a glance

Ucalc - Ucalc <- function(sigma, maturity, prd)

• Calculate the upward/downward factor for price propagation based on Black-Scholes

Qcalc - Qcalc <- function(r, dvd, maturity, prd, sigma)

• Calculate the risk neutral factor q based on Black-Scholes

bio.tree - bio.tree <- function(start, prd, u)

• start can be a binomial tree and propagate extra period - aim for features like options for futures

Discount - discount <- function(tree, q, r, maturity, early=FALSE)

• Given a binomial tree, discount it under risk neutral
• Can work together with short rate lattice
• early for US option early execution

OptTree - OptTree <- function(pTree, strike, sigma, maturity, r, prd, dvd = 0, call=TRUE, US=FALSE)

• Construction of option's payoff lattice

FuturePrice - FuturePrice <- function(spot, maturity, prd, sigma, r, dvd=0)

• Calculate future price in all

OptionPrice - OptionPrice <- function(spot, maturity, prd, sigma, strike, r, dvd=0, call=TRUE, US=FALSE)

• calculation option price in all