[R-SIG-Finance] SpreadapproxOption

Benji Famel benjifamel at gmail.com
Thu Jun 10 22:03:39 CEST 2010


Am I being dense? Why does the call:
SpreadApproxOption (TypeFlag="c", S1=28, S2=20, X=7, Time=1, r=.10,  
sigma1=0, sigma2=0, rho=1)
Give me an option price of 0.81 instead of 0.90?

Thanks for any help...

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