EuPutBS {LSMonteCarlo}

Black & Scholes solution for European put and call

Description

Pricing plain vanilla American put and call options using Black & Scholes solution.

Usage

EuPutBS(Spot, sigma, Strike, r, dr, mT)

EuCallBS(Spot, sigma, Strike, r, dr, mT)

Arguments

Spot

Spot price of the underlying asset (e.g. stock).

sigma

Volatility of the underlying asset.

Strike

Strike price of the option.

r

Interest rate of the numeraire currency (e.g. EUR).

dr

Dividend rate of the underlying asset.

mT

Maturity time (years).

Value

The function returns the price as a single number (class "numeric").

See Also

AmerPutLSM_CV

Examples

EuPutBS(1, 0.2, 1, 0.06, 0, 1)
EuCallBS(1, 0.2, 1, 0.06, 0, 1)