monte_carlo_black_scholes: Comptue a conditional expectation via Monte-Carlo...
In shill1729/OptionPricer: An option pricer for European and American vanilla stock options
Description
Compute a conditional expectation via discounting and averaging
Usage
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monte_carlo_black_scholes(
spot,
strike,
maturity,
rate,
div,
volat,
what = "call",
samples = 20000
)
Arguments
spot
the spot price
strike
the strike sprice
maturity
the maturity of the option contract
rate
the risk-neutral rate
div
the dividend yield rate
volat
the volatility
what
the payoff to use
samples
number of variates to sample
shill1729/OptionPricer documentation built on June 11, 2020, 12:18 a.m.
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Description
Compute a conditional expectation via discounting and averaging
Usage
1 2 3 4 5 6 7 8 9 10 | monte_carlo_black_scholes(
spot,
strike,
maturity,
rate,
div,
volat,
what = "call",
samples = 20000
)
|
Arguments
spot |
the spot price |
strike |
the strike sprice |
maturity |
the maturity of the option contract |
rate |
the risk-neutral rate |
div |
the dividend yield rate |
volat |
the volatility |
what |
the payoff to use |
samples |
number of variates to sample |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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