R/parameters.R

# S = 100;                 # Spot price
# X = 100;                 # K equivalent - strike price
# v = 0.010201;                # v0 equivalent - current variance of the underlying asset
# k = 6.21;                   # kappa - rate of mean reversion
# theta = 0.019;            # long term mean
# sigma = 0.61;               # ksi equivalent - vol of vol
# rho = -0.7;              # correlation between Wiener processes
# r = 0.0319;                # mu equivalent - risk-free rate of return
# tau = 1.0;               # T equivalent - Time to expiration in years
# N=100000;                     # Number of simulations
# t = 0                    # initial value
# dt <- 0.01


S = 100;                 # Spot price
X = 100;                 # K equivalent - strike price
v = 0.09;                # v0 equivalent - current variance of the underlying asset
k = 2;                   # kappa - rate of mean reversion
theta = 0.09;            # long term mean
sigma = 0.2;               # ksi equivalent - vol of vol
rho = -0.3;              # correlation between Wiener processes
r = 0.05;                # mu equivalent - risk-free rate of return
tau = 1.0;               # T equivalent - Time to expiration in years
N=1000;                     # Number of simulations
t = 0                    # initial value
dt <- 0.05
fernote7/rnmethods documentation built on May 16, 2019, 12:50 p.m.