monte_carlo_pois: Monte-Carlo European option pricing under exponential...

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

Description

Monte-Carlo simulated European option prices under exponential Levy processes. Specifically log returns are compensated Poisson processes.

Usage

monte_carlo_pois(
  spot,
  strike,
  maturity,
  rate,
  div,
  a,
  b,
  what = "put",
  t = 0,
  n = 1000,
  withCI = TRUE,
  alpha = 0.05
)

Arguments

spot	current underlying share price
strike	the agreed upon strike price of the option
maturity	the years until expiration (in trading years)
rate	the discounting rate (i.e. the risk-neutral rate)
div	the dividend yield rate
a	the jump coefficient
b	the compensator coefficient
what	the type of option to price, call or put
t	the current time
n	the number of simulations
withCI	whether to return the confidence intervals
alpha	the significance level

Value

vector or data.frame

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