Malliavin_Asian_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_Asian_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", "rho", "vega", "theta", "gamma"), model = "black_scholes", lambda = 0.2, alpha = 0.3, jump_distribution = function(n) stats::rt(n, df = 3), steps = round(time_to_maturity * 252), paths = 10000, seed = 1, antithetic = FALSE )
initial_price |
|
exercise_price |
|
r |
|
time_to_maturity |
|
volatility |
|
dividend_yield |
|
payoff |
|
greek |
|
model |
|
lambda |
|
alpha |
|
jump_distribution |
|
steps |
|
paths |
|
seed |
|
antithetic |
|
Named vector containing the values of the Greeks specified in the
parameter greek
.
Malliavin_Asian_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")