BinaryOption {RQuantLib} | R Documentation |
This function evaluations an Binary option on a common stock using a closed-form solution. The option value as well as the common first derivatives ("Greeks") are returned.
BinaryOption.default(type, underlying, strike, dividendYield, riskFreeRate, maturity, volatility, cashPayoff) ## S3 method for class 'Option': print ## S3 method for class 'Option': summary
type |
A string with one of the values call or put |
underlying |
Current price of the underlying stock |
strike |
Strike price of the option |
dividendYield |
Continuous dividend yield (as a fraction) of the stock |
riskFreeRate |
Risk-free rate |
maturity |
Time to maturity (in fractional years) |
volatility |
Volatility of the underlying stock |
cashPayoff |
Payout amount |
A closed-form solution is used to value the Binary Option.
Please see any decent Finance textbook for background reading, and
the QuantLib
documentation for details on the QuantLib
implementation.
An object of class BinaryOption
(which inherits from class
Option
) is returned. It contains a list with the
following components:
value |
Value of option |
delta |
Sensitivity of the option value for a change in the underlying |
gamma |
Sensitivity of the option delta for a change in the underlying |
vega |
Sensitivity of the option value for a change in the underlying's volatility |
theta |
Sensitivity of the option value for a change in t, the remaining time to maturity |
rho |
Sensitivity of the option value for a change in the risk-free interest rate |
dividendRho |
Sensitivity of the option value for a change in the dividend yield |
parameters |
List with parameters with which object was created |
The interface might change in future release as QuantLib
stabilises its own API.
Dirk Eddelbuettel edd@debian.org for the R interface;
the QuantLib Group for QuantLib
http://quantlib.org for details on QuantLib
.
BinaryOption("call", 100, 100, 0.02, 0.03, 0.5, 0.4, 10)