normal_bs: A Normal Monte Carlo Option Pricing Algorithm

In Jdmbs: Monte Carlo Option Pricing Algorithms for Jump Diffusion Models with Correlational Companies

Description

A Normal Monte Carlo Option Pricing Algorithm

Usage

normal_bs(
  day = 100,
  monte_carlo = 1000,
  start_price = start_price,
  mu = mu,
  sigma = sigma,
  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.
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

price <- normal_bs(100,10,c(300,500,850),c(0.1,0.2,0.05),c(0.05,0.1,0.09),c(600,700,1200),plot=TRUE)

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