| Library: | finance |
| See also: | BlackScholesPathIndependentMDDiv BlackScholesPathIndependentMD BlackScholesPathDependend1D BlackScholesPathDependent1DQMC |
| Quantlet: | BlackScholesPathIndependent1D | |
| Description: | calculates the option price and its standard deviation for path independent options in the Black Scholes model by Monte Carlo simulation. |
| Usage: | {z,v} = BlackScholesPathIndependent1D(s0,r,vola,dt,payoff,iterations,gennum) | |
| Input: | ||
| s0 | scalar, price of the underlying at time 0. | |
| r | scalar, risk free interest rate 5% = 0.05 | |
| vola | scalar, volatility of the log price process 20% = 0.2 | |
| dt | scalar, time to maturity in years | |
| payoff | string, name of the payoff function for the option product | |
| iterations | scalar, number of simulations | |
| gennum | scalar, number of the random source which is used in the simulation | |
| Output: | ||
| z | scalar, estimated option price | |
| v | scalar, standard deviation of the price estimate | |
library("finance")
proc(v) = Put(s0)
v =(s0<100) .*(100-s0)
endp
BlackScholesPathIndependent1D(100,0.045,0.2,1,"Put",10000,3)
The results can slightly vary with every execution of this example! Contents of _tmp.z [1,] 5.6505 Contents of _tmp.v [1,] 0.088035