jdm_bs: A Monte Carlo Option Pricing Algorithm for Jump Diffusion...

Description Usage Arguments Value Examples

View source: R/JdmbsJump.R

Description

A Monte Carlo Option Pricing Algorithm for Jump Diffusion Model

Usage

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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

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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.