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callprice2
2007 Oct 16
0
Simple plot of IR and option prices
...ce
to the put price to show how the option price varies relative to
interest rates. Kind of a see-saw like graph. I need to keep this
simple because this is meant to teach the absolute basics about the
effects of interest rates on option prices.
These are the option prices I'm using:
CallPrice1<-CRRBinomialTreeOption(TypeFlag="ca",S=20, X=20,
Time=1/12, r=0.0, b=0.0, sigma=.4, n=100)@price
CallPrice2<-CRRBinomialTreeOption(TypeFlag="ca",S=20, X=20,
Time=1/12, r=.05, b=.05, sigma=.4, n=100)@price
CallPrice3<-CRRBinomialTreeOption(TypeFlag="ca",S=2...