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putprice1
2007 Oct 16
0
Simple plot of IR and option prices
...=20,
Time=1/12, r=.10, b=.10, sigma=.4, n=100)@price
PutPrice1<-CRRBinomialTreeOption(TypeFlag="pa",S=20, X=20, Time=1/12,
r=0.0, b=0.0, sigma=.4, n=100)@price
PutPrice2<-CRRBinomialTreeOption(TypeFlag="pa",S=20, X=20, Time=1/12,
r=.05, b=.05, sigma=.4, n=100)@price
PutPrice3<-CRRBinomialTreeOption(TypeFlag="pa",S=20, X=20, Time=1/12,
r=.10, b=.10, sigma=.4, n=100)@price
L1<-c(CallPrice1, PutPrice1)
L2<-c(CallPrice2, PutPrice2)
L3<-c(CallPrice3, PutPrice3)
Everything I've tried as basically failed. So far I've only been
able to plot...