[R-sig-finance] foptions package

[Dirk Eddelbuettel]

John,

On 11 November 2005 at 10:20, jmbucci at stat.ucla.edu wrote:
| Hello,
| 
| 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?

Unless you hear from Diethelm, your best bet is probably do go digging in the
source code itself.  

Regards, Dirk

-- 
Statistics: The (futile) attempt to offer certainty about uncertainty.
         -- Roger Koenker, 'Dictionary of Received Ideas of Statistics'