[R-sig-finance] foptions package

[Krishna Kumar]

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,

Best,
Kris

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



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?
>
>Thank you,
>
>John Bucci
>
>_______________________________________________
>R-sig-finance at stat.math.ethz.ch mailing list
>https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>
>  
>

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