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

Description Usage Arguments Details Value Author(s) References Examples

View source: R/ForwardStart.R

Description

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

Usage

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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

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(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

QFRM documentation built on May 29, 2017, 10:12 p.m.