search for: crrbinomialtreeopt

I'm using the CRRBinomialTreeOption function (in package "fOptions") with a loop for pricing a large number of options. But I can't transfer the values obtained from this function to a "numeric" matrix as the outcome of this function is not a simple numeric. The following is the piece of code: # USING THE...

...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=20, X=20, Time=1/12, r...

Bill, Alberto, Gabor, Thank you for answering my question. Now I learned about outer() function. That was a straightforward example. But what if I had a matrix, where the last column was filled with values first (again, a for loop), and the rest was filled by using a double loop? OVal <- matrix(0, n+1, n+1) for(i in 0:n){ OVal[i+1, n+1] <- max(Val[i+1, n+1]-K, 0) } for(i in seq(n,1,