m4fe (version 0.1)

treeBasic: European Option Price (Basic Binomial Tree Formula)

Description

Uses Cox's Formula for finding the price of a European call option.

Usage

treeBasic(n = 3, call = TRUE)

Arguments

n

the number of periods

call

TRUE if call option, FALSE if put option

Details

This formula assumes that nodes do overlap and path dependency is not needed as in an Asian option.

Examples

treeBasic(n=10, call=TRUE)