normal_bs: A Normal Monte Carlo Option Pricing Algorithm

Description Usage Arguments Value Examples

View source: R/Jdmbs.R

Description

A Normal Monte Carlo Option Pricing Algorithm

Usage

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normal_bs(companies, simulation.length = 180, monte_carlo = 1000,
  start_price = start_price, mu = mu, sigma = sigma, 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.

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 <- normal_bs(1, simulation.length=50, monte_carlo=100,1000, 0.007, 0.03, 1500, "blue")

Example output

[1] "Call Option Price:"
[1] 539.3822
[1] "Put Option Price:"
[1] 853.766

Jdmbs documentation built on May 2, 2018, 1:04 a.m.