Price compound option from Cox-Ross-Rubinstein binomial tree
[
prices
compound options from a Cox-Ross-Rubinstein binomial tree.Price
,PriceTree
]
= compoundbycrr(CRRTree
,UOptSpec
,UStrike
,USettle
,UExerciseDates
,UAmericanOpt
,COptSpec
,CStrike
,CSettle
,CExerciseDates
)
[
adds
an optional argument for Price
,PriceTree
]
= compoundbycrr(___,CAmericanOpt
)CAmericanOpt
.
[1] Rubinstein, Mark. “Double Trouble.” Risk. Vol. 5, 1991, p. 73.