Collection of functions for pricing european options
The R functions contained in this repository performs the following tasks:
- Compute the payoff of european call option with short position
- Compute the payoff of a european put option in a single-period binomial tree
- Compute the payoff of a call option using put-call parity
- Verify that the european call option satisfies Merton's constraints
- Compute the payoff of a european put option in a multi-period binomial tree using backward induction
- Compute the payoff of a put option in a multi-period setting using a direct formula
- Examine the behaviour of the payoff functions with respect to the price of the underlying asset