AmericanCallOpt: This package includes pricing function for selected American call options with underlying assets that generate payouts

This package includes a set of pricing functions for American call options. The following cases are covered: Pricing of an American call using the standard binomial approximation; Hedge parameters for an American call with a standard binomial tree; Binomial pricing of an American call with continuous payout from the underlying asset; Binomial pricing of an American call with an underlying stock that pays proportional dividends in discrete time; Pricing of an American call on futures using a binomial approximation; Pricing of a currency futures American call using a binomial approximation; Pricing of a perpetual American call. The user should kindly notice that this material is for educational purposes only. The codes are not optimized for computational efficiency as they are meant to represent standard cases of analytical and numerical solution.

Version: 0.95
Depends: R (≥ 2.0.0)
Published: 2012-03-04
Author: Paolo Zagaglia
Maintainer: Paolo Zagaglia <paolo.zagaglia at>
License: GPL-3
NeedsCompilation: no
In views: Finance
CRAN checks: AmericanCallOpt results


Reference manual: AmericanCallOpt.pdf
Package source: AmericanCallOpt_0.95.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X Mavericks binaries: r-release: AmericanCallOpt_0.95.tgz, r-oldrel: AmericanCallOpt_0.95.tgz


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