BS_sim

0th

Percentile

Simulate Stock Price and Price of Underlying Asset

At least one of D, r, or T. needs to have the desired length of the simulated series. All vectors with length greater than one needs to have the same length.

Usage
BS_sim(vol, mu, dt, V_0, D, r, T.)
Arguments
vol

numeric scalar with $\sigma$ value.

mu

numeric scalar with $\mu$ value.

dt

numeric scalar with time increments between observations.

V_0

numeric scalar with starting value of the underlying asset, $S_{0}$.

D

numeric vector or scalar with debt due in T..

r

numeric vector or scalar with risk free rates.

T.

numeric vector or scalar with time to maturity.

BS_fit

• BS_sim
Examples
# NOT RUN {
library(DtD)
set.seed(79156879)
sims <- BS_sim(
vol = .1, mu = .05, dt = .2, V_0 = 100, T. = 1, D = rep(80, 20), r = .01)

# plot underlying
plot(sims$V) # plot stock plot(sims$S)

# }

Documentation reproduced from package DtD, version 0.2.1, License: GPL-2

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