EuPutBS: Black & Scholes solution for European put and call

In LSMonteCarlo: American options pricing with Least Squares Monte Carlo method

Description

Pricing plain vanilla American put and call options using Black & Scholes solution.

Usage

EuPutBS(Spot, sigma, Strike, r, dr, mT)

EuCallBS(Spot, sigma, Strike, r, dr, mT)

Arguments

Spot	Spot price of the underlying asset (e.g. stock).
sigma	Volatility of the underlying asset.
Strike	Strike price of the option.
r	Interest rate of the numeraire currency (e.g. EUR).
dr	Dividend rate of the underlying asset.
mT	Maturity time (years).

Value

The function returns the price as a single number (class "numeric").

See Also

AmerPutLSM_CV

Examples

EuPutBS(1, 0.2, 1, 0.06, 0, 1)
EuCallBS(1, 0.2, 1, 0.06, 0, 1)

Example output

Loading required package: mvtnorm
Loading required package: fBasics
Loading required package: timeDate
Loading required package: timeSeries
[1] 0.05166003
[1] 0.1098955

LSMonteCarlo documentation built on May 2, 2019, 8:55 a.m.