Description Usage Arguments Value Examples
A Monte Carlo Option Pricing Algorithm for Jump Diffusion Model with Correlational Companies
1 2 3 4 5 6 7 8 9 10 11 | jdm_new_bs(
correlation_matrix,
day = 180,
monte_carlo = 1000,
start_price = start_price,
mu = mu,
sigma = sigma,
lambda = lambda,
K = K,
plot = TRUE
)
|
correlation_matrix |
: a matrix of a correlation coefficient of companies |
day |
: an integer of a time duration of simulation. |
monte_carlo |
: an integer of an iteration number for monte carlo. |
start_price |
: a vector of company's initial stock prices. |
mu |
: a vector of drift parameters of geometric Brownian motion. |
sigma |
: a vector of volatility parameters of geometric Brownian motion. |
lambda |
: an integer of how many times jump in unit time. |
K |
: a vector of option strike prices. |
plot |
: a logical type of whether plot a result or not. |
option prices : a list of (call_price, put_price)
1 2 3 4 5 |
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