monte_carlo {convertbonds} | R Documentation |
Monte Carlo simulation function Predicting Theoretical Value of Options per Share Using Monte Carlo Simulations
monte_carlo(I, M, S_0, K, Time, r, sigma)
I |
number ofsimulation |
M |
number of time steps |
S_0 |
The initial price of the underlying stock |
K |
Exercise price (conversion price) |
Time |
Simulate paths over time intervals |
r |
risk free rate |
sigma |
Volatility (Standard Deviation of Return) |
No return value, called for side effects
monte_carlo(I=10000,M=50,S_0=5.9,K=5.43,T=1.353,r=0.018482,sigma=0.2616)