milstein_call: European Call Function

In fernote7/rnmethods: Numerical Methods for stochastic processes

Description

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

Usage

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

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

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