Description Usage Arguments Details Value Author(s) References Examples

View source: R/MontecarloCalls.R

Montecarlo is a method used to price options. It computes the expected value of the price with respect to an underlying probability distribution which is assumed to be a Gaussian stochastic process described by a geometric Brownian motion.

1 | ```
MontecarloCalls(s0, k, t, r, vol, n)
``` |

`s0` |
stock price at time 0 |

`k` |
strike price |

`t` |
time to maturity in years |

`r` |
annual interest rate |

`vol` |
annual volatility |

`n` |
number of simulations |

No details

Price of the call

Degiorgi Elia, Milan Federico, Zaramella Davide, Stoeva Valerija

"Option Pricing Using Different Techniques" by Degiorgi Elia, Milan Federico, Zaramella Davide, Stoeva Valerija (2019)

1 | ```
MontecarloCalls(10,11,1,0.05,0.2,100) # 0.6164035
``` |

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