monte_carlo

Monte Carlo simulation function
Predicting Theoretical Value of Options per Share Using Monte Carlo Simulations

Calculate the theoretical value of convertible bonds by given parameters, including B-S theory and Monte Carlo method.

Tai-Sen Zheng

convertbonds

Use the Given Parameters to Calculate the European Option Value

Fischer Black

Myron Scholes

Robert C. Merton

John von Neumann

Stanislaw Ulam

Nicholas Constantine Metropolis

monte_carlo function

<dl><dt>I</dt>
<dd>number ofsimulation</dd>
<dt>M</dt>
<dd>number of time steps</dd>
<dt>S_0</dt>
<dd>The initial price of the underlying stock</dd>
<dt>K</dt>
<dd>Exercise price (conversion price)</dd>
<dt>Time</dt>
<dd>Simulate paths over time intervals</dd>
<dt>r</dt>
<dd>risk free rate</dd>
<dt>sigma</dt>
<dd>Volatility (Standard Deviation of Return)</dd></dl>

Arguments

Monte Carlo simulation function
Predicting Theoretical Value of Options per Share Using Monte Carlo Simulations — monte_carlo

<dl>

<dt>I</dt>
<dd>number ofsimulation</dd>


<dt>M</dt>
<dd>number of time steps</dd>


<dt>S_0</dt>
<dd>The initial price of the underlying stock</dd>


<dt>K</dt>
<dd>Exercise price (conversion price)</dd>


<dt>Time</dt>
<dd>Simulate paths over time intervals</dd>


<dt>r</dt>
<dd>risk free rate</dd>


<dt>sigma</dt>
<dd>Volatility (Standard Deviation of Return)</dd>

</dl>

monte_carlo: Monte Carlo simulation function Predicting Theoretical Value of Options per Share Using Monte Carlo Simulations

Description

Usage

Value

Arguments

Examples