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,
  mu, sigma, event_times, jump, K, color)

Arguments

companies

an integer of company number in order to simulate.

simulation.length

an integer of a duration of simulation.

monte_carlo

an integer of iterations of monte carlo.

start_price

a vector of company's initial stock prices.

mu

a vector of parameter of geometric Brownian motion.

sigma

a vector of parameter 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 execution prices.

color

a vector of colors in plot.

Value

premium a list of (call_premium, put_premium)

Examples

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jdm_bs(3 ,simulation.length=60,monte_carlo=60, c(1000,500,500), c(0.005, 0.025, 0.01),
c(0.08,0.04,0.06), 3, c(0.1,0.1,0.1), c(2500,3000,1500), c("red","blue","green"))

Jdmbs documentation built on Jan. 20, 2018, 9:41 a.m.