R: A Normal Monte Carlo Option Pricing Algorithm

normal_bs

R Documentation

A Normal Monte Carlo Option Pricing Algorithm

A Normal Monte Carlo Option Pricing Algorithm

normal_bs(
  day = 100,
  monte_carlo = 1000,
  start_price = start_price,
  mu = mu,
  sigma = sigma,
  K = K,
  plot = TRUE
)

`day`	: an integer of a time duration of simulation.
`monte_carlo`	: an integer of an iteration number for monte carlo.
`start_price`	: a vector of company's initial stock prices.
`mu`	: a vector of drift parameters of geometric Brownian motion.
`sigma`	: a vector of volatility parameters of geometric Brownian motion.
`K`	: a vector of option strike prices.
`plot`	: a logical type of whether plot a result or not.

option prices : a list of (call_price, put_price)

price <- normal_bs(100,10,c(300,500,850),c(0.1,0.2,0.05),c(0.05,0.1,0.09),c(600,700,1200),plot=TRUE)