[R-sig-finance] foptions package

[Krishna Kumar]

I forgot to mention a few things
Function description
(i) optionvalue.euro  - this does CRR/LR/JR trees
(ii) greek.binomial  - this is based on Pelseer/Vorst  ("The Binomial 
Model and the Greeks." /Journal of Derivatives/, Spring 1994, 45-49 )
(iii) optionvalue.amer  - american option pricing using CRR/LR/JR
(iv) optionvalue.bbs  - Broadie-Detempleton adjustment to the tree (2 pt 
richardson extrapolation + BS at penultimate)
*See American Option Valuation: New Bounds, Approximations, and a 
Comparison of Existing Methods* 
(http://rfs.oupjournals.org/cgi/reprint/9/4/1211)

My favorite among these is the LR tree the original paper is here 
(http://www.wiwi.uni-bonn.de/sfb/papers/1995/b/bonnsfb309.pdf)



Krishna Kumar wrote:

> 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?