jdm_new_bs: A Monte Carlo Option Pricing Algorithm for Jump Diffusion...

In jirotubuyaki/Jdmbs: Monte Carlo Option Pricing Algorithms for Jump Diffusion Models with Correlational Companies

Description

A Monte Carlo Option Pricing Algorithm for Jump Diffusion Model with Correlational Companies

Usage

jdm_new_bs(
  correlation_matrix,
  day = 180,
  monte_carlo = 1000,
  start_price = start_price,
  mu = mu,
  sigma = sigma,
  lambda = lambda,
  K = K,
  plot = TRUE
)

Arguments

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.

Value

option prices : a list of (call_price, put_price)

Examples

price <- jdm_new_bs(matrix(c(0.1,0.2,0.3,0.4,0.5,0.6,0.7,0.8,0.9),nrow=3, ncol=3),
                    day=100,monte_carlo=20, c(1000,500,500),
                    c(0.002, 0.012, 0.005),c(0.05,0.05,0.06), 3,
                    c(1500,1000,700),plot=TRUE
                   )

jirotubuyaki/Jdmbs documentation built on June 13, 2020, 10:30 a.m.