Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

Binomial calculations for options on futures #9

Open
rmcd1024 opened this issue Mar 1, 2021 · 0 comments
Open

Binomial calculations for options on futures #9

rmcd1024 opened this issue Mar 1, 2021 · 0 comments

Comments

@rmcd1024
Copy link
Owner

rmcd1024 commented Mar 1, 2021

Options on futures need special handling because the futures premium is zero. The bond component of the replicating portfolio is the price of the option. Either add a parameter to binomopt or create a wrapper function that calls binomopt.
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Assignees
No one assigned
Labels
None yet
Projects
None yet
Milestone
No milestone
Development

No branches or pull requests
1 participant
@rmcd1024