MonteCarloOptions {fOptions}R Documentation

Monte Carlo Valuation of Options

Description

A collection and description of functions to valuate options by Monte Carlo methods. The functions include beside the main Monte Carlo Simulator, example functions to generate Monte Carlo price paths and to compute Monte Carlo price payoffs.

The functions are:

sobolInnovations Example for scrambled Sobol innovations,
wienerPath Example for a Wiener price path,
plainVanillaPayoff Example for the plain vanilla option's payoff,
arithmeticAsianPayoff Example for the arithmetic Asian option's payoff,
MonteCarloOption Monte Carlo Simulator for options.

Usage

MonteCarloOption(delta.t, pathLength, mcSteps, mcLoops, init = TRUE, 
    innovations.gen, path.gen, payoff.calc, antithetic = TRUE, 
    standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag, s both = TRUE, standardization = FALSE, trace = TRUE, ...)

Arguments

antithetic a logical flag,