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Functions at a glance
Aaron edited this page Mar 17, 2017
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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)
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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
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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