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2007 Oct 16
0
Simple plot of IR and option prices
...eed 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=20, X=20, Time=1/12, r=.10, b=.10, sigma=.4, n=100)@price PutPrice1<-CRRBinomialTreeOption(TypeFlag="pa",S=2...