milstein_call: European Call Function

Description Usage Arguments Author(s) Examples

View source: R/milstein_call.R

Description

This function allows you to simulate a call price using the Milstein method.

Usage

1
milstein_call(X0, mu, sigma, Dt, t, T, N, K = 0, plt = F)

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

1
milstein_call(307.65, 0.75, 0.3, 0.001, 0, 1, 10000, 300)

fernote7/rnmethods documentation built on Sept. 25, 2017, 12:02 p.m.