[R-sig-finance] foptions package

jmbucci@stat.ucla.edu jmbucci at stat.ucla.edu
Fri Nov 11 19:20:09 CET 2005


I had a quick question regarding the CRR Binomial program in R:

Does this program apply the backwards numerical procedure for valuing
American call options if I choose the "ca" as typeflag, i.e. at each node
of constructing the option tree backwards, the algorithm chooses between
the maximum of the discounted call values of the subsequent up and down
moves and the intrinsic value?

Thank you,

John Bucci

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