m4fe (version 0.1)

treeDetails: European Option Pricing Details

Description

Returns a tree structure with the D (Delta: amount of shares to buy), B (lend: borrowing amount), S (stock price), C (option value) at each node

Usage

treeDetails(n = 2, call = TRUE)

Arguments

n

the number of periods

call

TRUE if call option, FALSE if put option

Details

Uses a list structure to store the data. If n is large, the object is very large and takes up a lot of memory

Examples

treeDetails(n=10, call=TRUE)