MontecarloAntitheticCalls {pcalls}

Function that prices a Call via Montecarlo simulation using antithetic variates

Description

The Antithetic Variates is a method which decreases the approximation error by reducing the variance of the simulation result.

Usage

MontecarloAntitheticCalls(s0, k, t, r, vol, n)

Arguments

s0

stock price at time 0

k

strike price

t

time to maturity in years

r

annual interest rate

vol

annual volatility

n

number of simulations

Details

No details

Value

Price of the call

Author(s)

Degiorgi Elia, Milan Federico, Zaramella Davide, Stoeva Valerija

References

"Option Pricing Using Different Techniques" by Degiorgi Elia, Milan Federico, Zaramella Davide, Stoeva Valerija (2019)

Examples

MontecarloAntitheticCalls(10,11,1,0.05,0.2,100) #  0.5749907