Library: | finance |
See also: | bitree IBTdk BlackScholes american asset bs1 european mcmillan optstart |
Quantlet: | IBTcrr | |
Description: | calculates the call or put option price, using CRR binomial tree method |
Usage: | c = IBTcrr(S, K, r, sigma, level, deltat, task) | |
Input: | ||
S | scalar: the current value of the index | |
K | scalar: exercise price | |
r | scalar: riskless interest rate | |
sigma | scalar: Black Scholes implied volatility of a European call | |
level | scalar: number of time intervals | |
deltat | scalar: length of time interval | |
task | scalar: if task=1, calculate the call option price; if task=0, calculate the put option price | |
Output: | ||
c | scalar: the call option price or put option price |
library("finance") S=100 r=0.03 K=100 level=1 sigma=0.1 deltat=1 task=1 C=IBTcrr(S, K, r, sigma, level, deltat,task) C
Output is one year's call option price : Contents of C [1,] 6.4026