Tian (1993), Leisen Reimer (1996), Jarrow Rudd (1993) and Cox Ross and Rubinstein (1979) R Function
Please view code here: https://sites.google.com/view/vinegarhill-financelabs/binomial-lattice-framework/convergence-dynamics Please check colab: https://colab.research.google.com/drive/1UiY9DlZRtnQgFIJRFRQqhqEed6I2lKpg?usp=sharing We present functions for pricing American and European options with Tian, Jarrow Rudd and Cox Ross and Rubinstein using R code developed by Diethelm Wuertz, Tobias Setz and Yohan Chalabi for the fOptions R package. We also write a function for Leisen Reimer (1996) to complete standard binomial offering and follow the Espen Haug ij array.
Please view code here: https://sites.google.com/view/vinegarhill-financelabs/binomial-lattice-framework/convergence-dynamics Please check colab: https://colab.research.google.com/drive/1UiY9DlZRtnQgFIJRFRQqhqEed6I2lKpg?usp=sharing We present functions for pricing American and European options with Tian, Jarrow Rudd and Cox Ross and Rubinstein using R code developed by Diethelm Wuertz, Tobias Setz and Yohan Chalabi for the fOptions R package. We also write a function for Leisen Reimer (1996) to complete standard binomial offering and follow the Espen Haug ij array.