Displaying 1 result from an estimated 1 matches for "callprice3".
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callprice1
2007 Oct 16
0
Simple plot of IR and option prices
...n 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=20, X=20, Time=1/12,
r=0.0, b=0.0, sigma=.4, n=100)@price
PutPrice2<-CRRBinomialTreeOption(TypeFlag="pa",S=20...