[R-sig-finance] foptions package

Krishna Kumar kriskumar at earthlink.net
Sat Nov 12 15:45:54 CET 2005

I am attaching a little function I wrote which does the LR/CRR/JR trees 
it also does the Binomial with Blackscholes
2-point richardson extrapolation with a BS adjustment at the penultimate 
step (Broadie-DeTempleton) particularly good for getting smooth greeks.

Hope this helps,


ps: It is ugly and not well documented is there a R standard for naming 
variables etc?

jmbucci at stat.ucla.edu wrote:

>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
>R-sig-finance at stat.math.ethz.ch mailing list

-------------- next part --------------
An embedded and charset-unspecified text was scrubbed...
Name: bintree.r
Url: https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20051112/9fc34c40/bintree.pl

More information about the R-sig-finance mailing list