[R-sig-finance] foptions package

Krishna Kumar kriskumar at earthlink.net
Sat Nov 12 16:04:35 CET 2005

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* 

My favorite among these is the LR tree the original paper is here 

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?

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