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callprice1
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...