monteCarlo: A generic Monte-Carlo integrator
In shill1729/pricing: Option pricing engines for (jump)-diffusions
Description
Usage
Arguments
Value
View source: R/monteCarloPricer.R
Description
A generic Monte-Carlo integrator given a vector of
simulated terminal payoff variates.
Usage
1
monteCarlo(maturity, rate, variates)
Arguments
maturity
the maturity of the option
rate
the discounting rate
variates
the simulated terminal payoff variates to average
Value
numeric
shill1729/pricing documentation built on Jan. 9, 2022, 12:56 a.m.
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Description Usage Arguments Value
View source: R/monteCarloPricer.R
Description
A generic Monte-Carlo integrator given a vector of simulated terminal payoff variates.
Usage
1 | monteCarlo(maturity, rate, variates)
|
Arguments
maturity |
the maturity of the option |
rate |
the discounting rate |
variates |
the simulated terminal payoff variates to average |
Value
numeric
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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