Description Usage Arguments Value Examples
A Monte Carlo Option Pricing Algorithm for Jump Diffusion Model
1 2 3 4 5 6 7 8 9 10 |
day |
: 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. |
lambda |
: an integer of how many times jump in unit time. |
K |
: a vector of option strike prices. |
plot |
: a logical type of whether plot a result or not. |
option prices : a list of (call_price, put_price)
1 |
[1] "Call Option Price:"
option_ 1 option_ 2 option_ 3
8514.381 10653.775 0.000
[1] "Put Option Price:"
option_ 1 option_ 2 option_ 3
1373.532 3399.092 7394.697
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