BlackscholesCalls

<p>Black-Scholes is a model used to price Vanilla European Options assuming that the market is free from arbitrage and the underlying asset price follows a geometric Brownian motion. In other words, it assumes that the underlying stock price follows a random walk and it partially satisfies the efficient market hypothesis.</p>

Compute the price of different types of call using different methods. The types available are Vanilla European Calls, Vanilla American Calls and American Digital Calls. Available methods are Montecarlo Simulation, Montecarlo Simulation with Antithetic Variates, Black-Scholes and the Binary Tree.

Elia Degiorgi

pcalls

Pricing of Different Types of Call

BlackscholesCalls function

<p>All input values must be stricly positive.</p>

BlackscholesCalls: Function that prices a Call via Black-Scholes formula

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Examples