GapLT {QFRM} | R Documentation |
A binomial tree pricer of Gap options that takes the average results for given step sizes in NSteps. Large step sizes should be used for optimal accuracy but may take a minute or so.
GapLT(o = OptPx(Opt(Style = "Gap")), K2 = 60, on = c(100, 200))
o |
An object of class |
K2 |
A numeric strike price above used in calculating if option is in the money or not, known as trigger. |
on |
A vector of number of steps to be used in binomial tree averaging, vector of positive intergers. |
An onject of class OptPx
including price
Max Lee, Department of Statistics, Rice University, Spring 2015
Hull, John C., Options, Futures and Other Derivatives, 9ed, 2014. Prentice Hall.
ISBN 978-0-13-345631-8. http://www-2.rotman.utoronto.ca/~hull/ofod/index.html.
Humphreys, Natalia. University of Dallas.
(o = GapLT())$PxLT
o = Opt(Style="Gap",Right='Put',S0 = 500000, ttm = 1,K = 400000)
o = OptPx(o,r = .05, q=0, vol =.2)
(o = GapLT(o,K2 = 350000,on=c(498,499,500,501,502)))$PxLT
o = Opt(Style="Gap", Right='Call',S0 = 65, ttm = 1,K = 70)
o = OptPx(o,r = .05, q=.02,vol =.1)