Jdmbs (version 1.4)

jdm_bs: A Monte Carlo Option Pricing Algorithm for Jump Diffusion Model

Description

A Monte Carlo Option Pricing Algorithm for Jump Diffusion Model

Usage

jdm_bs(
  day = 180,
  monte_carlo = 1000,
  start_price = start_price,
  mu = mu,
  sigma = sigma,
  lambda = lambda,
  K = K,
  plot = TRUE
)

Arguments

day

: an integer of a time duration of simulation.

monte_carlo

: an integer of an iteration number for monte carlo.

start_price

: a vector of company's initial stock prices.

mu

: a vector of drift parameters of geometric Brownian motion.

sigma

: a vector of volatility parameters of geometric Brownian motion.

lambda

: an integer of how many times jump in unit time.

K

: a vector of option strike prices.

plot

: a logical type of whether plot a result or not.

Value

option prices : a list of (call_price, put_price)

Examples

# NOT RUN {
jdm_bs(100,10,c(5500,6500,8000),c(0.1,0.2,0.05),c(0.11,0.115,0.1),2,c(6000,7000,12000),plot=TRUE)
# }