| Library: | finance |
| See also: | MertonPut MertonCall HestonCallMC |
| Quantlet: | MertonCallMC | |
| Description: | calculates European call option prices in Merton model using Monte Carlo method. |
| Usage: | y = MertonCallMC(S,K,T,r,lambda,sigma,delta,mu,I,M) | |
| Input: | ||
| S | scalar, asset price | |
| K | scalar, exercise price | |
| T | scalar, time to maturity | |
| r | scalar, interest rate | |
| lambda | scalar, expected number of jumps in time unit | |
| sigma | scalar, standard deviation of jump | |
| delta | scalar, standard deviation of jump | |
| mu | scalar, expected value of jump | |
| I | scalar, number of grid points | |
| M | scalar, number of trajectories | |
| Output: | ||
| y | scalar, call option price | |
library("finance")
randomize2(100)
S=100
K=100
T=1
r=0.02
lambda= 12
sigma =0.1
delta = 0.01
mu = 0.1
I = 200
M = 1000
y=MertonCallMC(S,K,T,r,lambda,sigma,delta,mu,I,M)
y
Contents of y [1,] 16.211