Description Usage Arguments Value Examples

A Monte Carlo Option Pricing Algorithm for Jump Diffusion Model

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`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. |

option prices : a list of (call_price, put_price)

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