euler_call: European Call Function

In fernote7/rnmethods: Numerical Methods for stochastic processes

Description

#' This function allows you to simulate a call price using the Euler method.

Usage

euler_call(X0, mu, sigma, Dt = 0.1, t = 0, T = 1, N = 1000, K = 0,
  plt = FALSE)

Arguments

X0	Initial value.
mu	Drift coeficient.
sigma	Diffusion coefficient.
Dt	Step size.
t	Initial time period.
T	Final time period.
N	Number of simulations.
K	Strike price.
plt	Plot? Defaults to FALSE.

Author(s)

Fernando Teixeira

Examples

b=euler_call(307.65, 0.75, 0.3, 0.001, 0, 1, 10000)

fernote7/rnmethods documentation built on May 16, 2019, 12:50 p.m.