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

jdm_bs(
  day = 180,
  monte_carlo = 1000,
  start_price = start_price,
  mu = mu,
  sigma = sigma,
  lambda = lambda,
  K = K,
  plot = TRUE
)

Arguments

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.

Value

option prices : a list of (call_price, put_price)

Examples

jdm_bs(100,10,c(5500,6500,8000),c(0.1,0.2,0.05),c(0.11,0.115,0.1),2,c(6000,7000,12000),plot=TRUE)

Example output

[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 

Jdmbs documentation built on July 24, 2020, 5:08 p.m.