Description Usage Arguments Value Author(s) References Examples
Calculates the price of a Ladder Option using 5000 Monte Carlo simulations. The helper function LadderCal() aims to calculate expected payout for each stock prices.
Important Assumptions:
The option o follows a General Brownian Motion (BM)
ds = mu * S * dt + sqrt(vol) * S * dW where dW ~ N(0,1).
The value of mu (the expected price increase) is assumed to be o$r
, the risk free rate of return.
1 2 |
o |
The |
NPaths |
The number of simulation paths to use in calculating the price |
L |
A series of ladder strike price. |
The option o
with the price in the field PxMC
based on MC simulations
and the ladder strike price L
set by the users themselves
Huang Jiayao, Risk Management and Business Intelligence at Hong Kong University of Science and Technology, Exchange student at Rice University, Spring 2015
1 2 3 4 5 6 7 8 9 |
[1] 16.87924
[1] 3.979191
[1] -11.04539
[1] 11.21998
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