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CRR convergence
require(fOptions) Price <- rep(NA, 100) for (i in 1:100) { Price[i] <- CRRBinomialTreeOption(TypeFlag = "pe", S=50, X=50, Time=3/12, r=.1, b=.1, sigma=.3, n=i)@price } plot(Price, xlab = 'Number of steps') grid()
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