MontecarloCalls: Function that prices a Call via Montecarlo simulation
In pcalls: Pricing of Different Types of Call
Description
Usage
Arguments
Details
Value
Author(s)
References
Examples
View source: R/MontecarloCalls.R
Description
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.
Usage
1
MontecarloCalls(s0, k, t, r, vol, n)
Arguments
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
Details
No details
Value
Price of the call
Author(s)
Degiorgi Elia, Milan Federico, Zaramella Davide, Stoeva Valerija
References
"Option Pricing Using Different Techniques" by Degiorgi Elia, Milan Federico, Zaramella Davide, Stoeva Valerija (2019)
Examples
1
MontecarloCalls(10,11,1,0.05,0.2,100) # 0.6164035
pcalls documentation built on May 2, 2020, 5:05 p.m.
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Description Usage Arguments Details Value Author(s) References Examples
View source: R/MontecarloCalls.R
Description
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.
Usage
1 | MontecarloCalls(s0, k, t, r, vol, n)
|
Arguments
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 |
Details
No details
Value
Price of the call
Author(s)
Degiorgi Elia, Milan Federico, Zaramella Davide, Stoeva Valerija
References
"Option Pricing Using Different Techniques" by Degiorgi Elia, Milan Federico, Zaramella Davide, Stoeva Valerija (2019)
Examples
1 | MontecarloCalls(10,11,1,0.05,0.2,100) # 0.6164035
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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