jdm_bs: A Monte Carlo Option Pricing Algorithm for Jump Diffusion... In Jdmbs: Monte Carlo Option Pricing Algorithms for Jump Diffusion Models with Correlational Companies

Description

A Monte Carlo Option Pricing Algorithm for Jump Diffusion Model

Usage

 ```1 2 3``` ```jdm_bs(companies, simulation.length = 180, monte_carlo = 1000, start_price = start_price, mu = mu, sigma = sigma, event_times = event_times, jump = jump, K = K, color = color) ```

Arguments

 `companies` : an integer of a company number in order to simulate. `simulation.length` : an integer of a time duration of simulation. `monte_carlo` : an integer of an iteration number for monte carlo. `start_price` : a vector of company's initial stock prices. `mu` : a vector of drift parameters of geometric Brownian motion. `sigma` : a vector of volatility parameters of geometric Brownian motion. `event_times` : an integer of how many times jump in unit time. `jump` : a vector of jump parameter. `K` : a vector of option strike prices. `color` : a vector of colors in plot.

Value

option prices : a list of (call_price, put_price)

Examples

 ```1 2 3 4 5``` ```price <- jdm_bs(3 ,simulation.length=100,monte_carlo=80, c(1000,500,500), c(0.002, 0.015, 0.01), c(0.08,0.04,0.06), 3, c(0.1,0.1,0.1), c(1300,600,700), c("red","blue","green") ) ```

Jdmbs documentation built on May 2, 2018, 1:04 a.m.