BinaryMC {QFRM} | R Documentation |
Binary option valuation via Monte-Carlo (via) simulation.
Description
Binary option valuation via Monte-Carlo (via) simulation.
Usage
BinaryMC(o = OptPx(Opt(Style = "Binary")), Q = 25,
Type = c("cash-or-nothing", "asset-or-nothing"), NPaths = 5)
Arguments
o |
An |
Q |
A fixed numeric amount of payoff |
Type |
Binary option type: |
NPaths |
The number of simulation paths to use in calculating the price
Partial names are allowed, eg. |
Details
Two types of binary options are priced: 'cash-or-nothing'
and 'asset-or-nothing'
.
Value
The original input object o
with added parameters and option price PxMC
Author(s)
Tongyue Luo, Rice University, Spring 2015.
References
Hull, John C., Options, Futures and Other Derivatives, 9ed, 2014. Prentice Hall. ISBN 978-0-13-345631-8, http://www-2.rotman.utoronto.ca/~hull/ofod/index.html. pp.606-607.
Examples
(o = BinaryMC())$PxMC
o = OptPx(Opt(Style="Binary"))
(o = BinaryMC(o, Type="cash"))$PxMC
o = OptPx(Opt(Style="Binary"),q=0.01)
(o = BinaryMC(o, Type="asset"))$PxMC
o = OptPx(Opt(Style="Binary", S0=100, K=80),q=0.01)
(o = BinaryMC(o, Type="cash"))$PxMC
o = OptPx(Opt(Style="Binary", Right="Put", S0=50, K=60),q=0.04)
(o = BinaryMC(o, Type="asset"))$PxMC
[Package QFRM version 1.0.1 Index]