Description Usage Arguments Details Value Author(s) Examples
This function computes and plots confidence intervals around the estimated average price, as functions of the number of simulations.
1 |
r |
a |
X |
asset prices obtained with |
maturity |
the corresponding maturity (optional). If missing, all the maturities
available in |
plot |
if |
... |
additional parameters provided to |
Studying the convergence of the sample mean of :
E[X_T exp(-\int_0^T r_s ds)]
towards its true value.
a list with estimated average prices and the confidence intervals around them.
Thierry Moudiki
1 2 3 4 5 6 7 8 9 10 11 12 13 14 | r <- 0.03
set.seed(1)
eps0 <- simshocks(n = 100, horizon = 5, frequency = "quart")
sim.GBM <- simdiff(n = 100, horizon = 5, frequency = "quart",
model = "GBM",
x0 = 100, theta1 = 0.03, theta2 = 0.1,
eps = eps0)
# monte carlo prices
esgmcprices(r, sim.GBM)
# convergence to a specific price
(esgmccv(r, sim.GBM, 2))
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