[Returnanalytics-commits] r3872 - pkg/Dowd/man

[noreply at r-forge.r-project.org]

Author: dacharya
Date: 2015-07-29 01:06:03 +0200 (Wed, 29 Jul 2015)
New Revision: 3872

Added:
   pkg/Dowd/man/AmericanPutPriceBinomial.Rd
Log:
Function AmericanPutPriceBinomial added.

Added: pkg/Dowd/man/AmericanPutPriceBinomial.Rd
===================================================================
--- pkg/Dowd/man/AmericanPutPriceBinomial.Rd	                        (rev 0)
+++ pkg/Dowd/man/AmericanPutPriceBinomial.Rd	2015-07-28 23:06:03 UTC (rev 3872)
@@ -0,0 +1,42 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/AmericanPutPriceBinomial.R
+\name{AmericanPutPriceBinomial}
+\alias{AmericanPutPriceBinomial}
+\title{Binomial Put Price}
+\usage{
+AmericanPutPriceBinomial(stockPrice, strike, r, sigma, maturity, numberSteps)
+}
+\arguments{
+\item{stockPrice}{Stock price of underlying stock}
+
+\item{strike}{Strike price of the option}
+
+\item{r}{Risk-free rate}
+
+\item{sigma}{Volatility of the underlying stock and is in annualised
+term}
+
+\item{maturity}{The term to maturity of the option in days}
+
+\item{numberSteps}{The number of time-steps in the binomial tree}
+}
+\value{
+Binomial American put price
+}
+\description{
+Estimates the price of an American Put, using the binomial approach.
+}
+\examples{
+# Estimates the price of an American Put
+   AmericanPutPriceBinomial(27.2, 25, .03, .2, 60, 30)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, Kevin. Measuring Market Risk, Wiley, 2007.
+
+Lyuu, Yuh-Dauh. Financial Engineering & Computation: Principles,
+Mathematics, Algorithms, Cambridge University Press, 2002.
+}
+