Jdmbs (version 1.4)

normal_bs: A Normal Monte Carlo Option Pricing Algorithm

Description

A Normal Monte Carlo Option Pricing Algorithm

Usage

normal_bs(
  day = 100,
  monte_carlo = 1000,
  start_price = start_price,
  mu = mu,
  sigma = sigma,
  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.

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 {
price <- normal_bs(100,10,c(300,500,850),c(0.1,0.2,0.05),c(0.05,0.1,0.09),c(600,700,1200),plot=TRUE)
# }