pricer_mc: Monte-Carlo European option pricing
In shill1729/pricing: Option pricing engines for (jump)-diffusions

Description Usage Arguments Details Value

Compute European option prices under three basic models: Black-Scholes, Merton's jump diffusion, and a log-normal mixture.

1	pricer_mc(strikes, expiries, spot, model, type = "call", n = 1000)

`strikes`	vector of strike prices
`expiries`	vector of maturities, in trading years
`spot`	the current spot price of the underlying
`model`	the dynamics defining the model, see details
`type`	the type of option to price
`n`	number of variates in Monte-Carlo integrator

The argument model must be a named list of

name either "gbm", "mixture", or "merton"
param the parameters defining the above model.

For "gbm" and "merton", param should be a vector of the risk-free rate, volatility, and the same with the mean rate of jumps and jump parameters. For "mixture" it must be a matrix of probabilities, risk-neutral rate, and volatilities. For "gcpp", it should be a vector of the risk-free rate, jump rate, jump size, and compensator size.

data.frame

shill1729/pricing documentation built on Jan. 9, 2022, 12:56 a.m.