CashOrNothingOption

Lüthi David (luda) luda at zhaw.ch
Tue Jun 3 18:03:12 CEST 2008


Dear Rmetrics core

In the "d" term in the CashOrNothingOption-Function in the R-package fExoticOptions it is somewhat confusing to use b (instead of r?).
In my opinion it should be like

d = (log(S/X) + (r + b - sigma^2/2) * Time)/(sigma * sqrt(Time)), 

resulting in the standard formula if there is no cost-of-carry. Do I mix things up?

Best regards, David



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