pcalls-package: Pricing of Different Types of Call

In pcalls: Pricing of Different Types of Call

Description

Compute the price of different types of call using different methods. The types available are Vanilla European Calls, Vanilla American Calls and American Digital Calls. Available methods are Montecarlo Simulation, Montecarlo Simulation with Antithetic Variates, Black-Scholes and the Binary Tree.

Author(s)

Elia Degiorgi, Federico Milan, Davide Zaramella, Valerija Stoeva

Maintainer: Elia Degiorgi <[e-mail]>

References

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

Examples

MontecarloCalls(10,11,1,0.05,0.2,100)
MontecarloAntitheticCalls(10,11,1,0.05,0.2,100)
BlackscholesCalls(10,11,1,0.05,0.2)
AmericanDigitalCalls(10,11,1,0.05,0.2,"A")
AmericanDigitalCalls(10,11,1,0.05,0.2,"C")

pcalls documentation built on May 2, 2020, 5:05 p.m.