AmericanCallOpt 0.95

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

Released Mar 4, 2012 by Paolo Zagaglia

This package is available for Renjin and there are no known compatibility issues.

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.



This package can be included as a dependency from a Java or Scala project by including the following your project's pom.xml file. Read more about embedding Renjin in JVM-based projects.

    <name>bedatadriven public repo</name>

View build log

Renjin CLI

If you're using Renjin from the command line, you load this library by invoking:


Test Results

This package was last tested against Renjin 0.9.2622 on Apr 7, 2018.



View GitHub Mirror

Release History