MontecarloCalls {pcalls}

Function that prices a Call via Montecarlo simulation

Description

Montecarlo is a method used to price options. It computes the expected value of the price with respect to an underlying probability distribution which is assumed to be a Gaussian stochastic process described by a geometric Brownian motion.

Usage

MontecarloCalls(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

MontecarloCalls(10,11,1,0.05,0.2,100) #  0.6164035