Malliavin_European_Greeks {greeks} | R Documentation |
This function calculates the fair value of an European option by with the Malliavin Monte Carlo Method in the Black Scholes model.
Malliavin_European_Greeks( initial_price = 100, exercise_price = 100, r = 0, time_to_maturity = 1, volatility = 0.3, dividend_yield = 0, payoff = "call", greek = c("fair_value", "delta", "vega", "theta", "rho", "gamma"), model = "Black Scholes", paths = 10000, seed = 1, antithetic = FALSE )
initial_price |
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exercise_price |
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r |
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time_to_maturity |
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volatility |
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dividend_yield |
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payoff |
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greek |
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model |
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paths |
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seed |
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antithetic |
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Named vector containing the values of the Greeks specified in the
parameter greek
.
Malliavin_European_Greeks(initial_price = 110, exercise_price = 100, r = 0.02, time_to_maturity = 4.5, dividend_yield = 0.015, volatility = 0.22, greek = c("fair_value", "delta", "rho"), payoff = "put")