check_gbm_convergence: Compare prices for European vanilla options produced by the...

In shill1729/OptionPricer: An option pricer for European and American vanilla stock options

Description

Check for mutual convergence of prices generated by both PDE and MC methods to a common value under Black-Scholes dynamics for European vanilla options.

Usage

check_gbm_convergence(
  spot,
  maturity,
  rate,
  div,
  volat,
  what,
  N,
  M,
  threshold = 0.001,
  samples = 10^6,
  strike_range = 5
)

Arguments

spot	the underlying spot price
maturity	the maturity of the option in trading years
rate	the risk-neutral rate of return
div	the dividend yield of the underlying
volat	the annual volatility
what	what type of option
N	time resolution
M	space resolution
threshold	threshold for MSE error for acceptance of convergence
samples	number of samples to use in MC
strike_range	range of strikes to price

Value

list containing a data.frame of the strike and genertaed prices, the mse, boolean for success and success message if successful.

shill1729/OptionPricer documentation built on June 11, 2020, 12:18 a.m.