MontecarloCalls {pcalls} | R Documentation |
Montecarlo is a method used to price options. It computes the expected value of the price with respect to an underlying probability distribution which is assumed to be a Gaussian stochastic process described by a geometric Brownian motion.
MontecarloCalls(s0, k, t, r, vol, n)
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 |
No details
Price of the call
Degiorgi Elia, Milan Federico, Zaramella Davide, Stoeva Valerija
"Option Pricing Using Different Techniques" by Degiorgi Elia, Milan Federico, Zaramella Davide, Stoeva Valerija (2019)
MontecarloCalls(10,11,1,0.05,0.2,100) # 0.6164035