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.

Description

This function calculates the fair value of an European option by with the Malliavin Monte Carlo Method in the Black Scholes model.

Usage

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
)

Arguments

initial_price
  • initial price of the underlying asset.

exercise_price
  • strike price of the option.

r
  • risk-free interest rate.

time_to_maturity
  • time to maturity.

volatility
  • volatility of the underlying asset.

dividend_yield
  • dividend yield.

payoff
  • the payoff function, either a string in ("put", "call"), or a function.

greek
  • the greek to be calculated.

model
  • the model to be chosen.

paths
  • the number of simulated paths.

seed
  • the seed of the random number generator

antithetic
  • if TRUE, antithetic random numbers will be chosen to decrease variance

Value

Named vector containing the values of the Greeks specified in the parameter greek.

Examples

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")


[Package greeks version 0.2.0 Index]