[R-sig-finance] Accessing the Option Price in CashorNothingOption
Uzuner, Tolga
tolga.uzuner at credit-suisse.com
Tue May 2 14:03:31 CEST 2006
> Dear R-sig-finance members,
>
> I am trying to use the CashorNothingOption , and would like to access the Option Price directly.
>
> When I use CashorNothingOption, I am being given back the following:
>
> > CashOrNothingOption("p",100,30,50,5,.05,0,.2)
>
> Title:
> Cash Or Nothing Option
>
> Call:
> CashOrNothingOption(TypeFlag = "p", S = 100, X = 30, K = 50,
> Time = 5, r = 0.05, b = 0, sigma = 0.2)
>
> Parameters:
> Value:
> TypeFlag p
> S 100
> X 30
> K 50
> Time 5
> r 0.05
> b 0
> sigma 0.2
>
> Option Price:
> 0.2641278
>
> Description:
> Tue May 02 12:46:07 2006
>
> How can I access the Option Price by assigning it's value to a variable so that I can multiply it by something else ?
>
> Assuming the formula returned a list, I tried a number of things, none of which worked:
>
> > CashOrNothingOption("p",100,30,50,5,.05,0,.2)$par
> NULL
> > CashOrNothingOption("p",100,30,50,5,.05,0,.2)$price
> NULL
> > CashOrNothingOption("p",100,30,50,5,.05,0,.2)$OptionPrice
> NULL
> >
>
> The documentation just says:
>
> ...
> Value:
>
> The option price, a numeric value.
> ....
>
> which is not very revealing, neither does it seem to be true !
>
> Many thanks in advance,
> Tolga
>
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