ForwardStartMC: Forward Start option valuation via Monte-Carlo (MC)...

In QFRM: Pricing of Vanilla and Exotic Option Contracts

Description

S3 object pricing model for a forward start European option using Monte Carlo simulation

Usage

ForwardStartMC(o = OptPx(Opt(Style = "ForwardStart")), tts = 0.1,
  NPaths = 5)

Arguments

o	An object of class OptPx
tts	Time to start of the option, in years.
NPaths	The number of MC simulation paths.

Details

A standard European option starts at a future time tts.

Value

A list of class ForwardStartMC consisting of the input object OptPx and the appended new parameters and option price.

Author(s)

Tongyue Luo, Rice University, Spring 2015.

References

Hull, John C., Options, Futures and Other Derivatives, 9ed, 2014. Prentice Hall. ISBN 978-0-13-345631-8, http://www-2.rotman.utoronto.ca/~hull/ofod/index.html.
http://investexcel.net/forward-start-options/

Examples

(o = ForwardStartMC())$PxMC

o = OptPx(Opt(Style='ForwardStart'), q = 0.03, r = 0.1, vol = 0.15)
(o = ForwardStartMC(o, tts=0.25))$PxMC

ForwardStartMC(o = OptPx(Opt(Style='ForwardStart', Right='Put')))$PxMC

Example output

[1] 7.051949
[1] 2.743
[1] 14.68037

QFRM documentation built on May 2, 2019, 8:26 a.m.