MontecarloAntitheticCalls {pcalls} | R Documentation |
The Antithetic Variates is a method which decreases the approximation error by reducing the variance of the simulation result.
MontecarloAntitheticCalls(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)
MontecarloAntitheticCalls(10,11,1,0.05,0.2,100) # 0.5749907