monte_carlo_merton: 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_merton(
spot,
strike,
maturity,
parameters,
what = "call",
samples = 20000
)
Arguments
spot
the spot price
strike
the strike sprice
maturity
the maturity of the option contract
parameters
vector of model parameters
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 | monte_carlo_merton(
spot,
strike,
maturity,
parameters,
what = "call",
samples = 20000
)
|
Arguments
spot |
the spot price |
strike |
the strike sprice |
maturity |
the maturity of the option contract |
parameters |
vector of model parameters |
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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