pcalls (version 1.0)

MontecarloAntitheticCalls: Function that prices a Call via Montecarlo simulation using antithetic variates

Description

The Antithetic Variates is a method which decreases the approximation error by reducing the variance of the simulation result.

Usage

MontecarloAntitheticCalls(s0, k, t, r, vol, n)

Arguments

s0

stock price at time 0

k

strike price

t

time to maturity in years

r

annual interest rate

vol

annual volatility

n

number of simulations

Value

Price of the call

Details

No details

References

"Option Pricing Using Different Techniques" by Degiorgi Elia, Milan Federico, Zaramella Davide, Stoeva Valerija (2019)

Examples

# NOT RUN {
MontecarloAntitheticCalls(10,11,1,0.05,0.2,100) #  0.5749907
# }