Description Usage Arguments Author(s) See Also Examples
This function computes estimators (sample mean) of
E[X_T exp(-\int_0^T r_s ds)]
where X_T is an asset value at given maturities T, and (r_s)_s is the risk-free rate.
1 | esgmcprices(r, X, maturity = NULL)
|
r |
a |
X |
asset prices obtained with |
maturity |
the corresponding maturity (optional). If missing, all the maturities
available in |
Thierry Moudiki
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 | # GBM
r <- 0.03
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)
# monte carlo price for a given maturity
esgmcprices(r, sim.GBM, 2)
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