Subject: Re: [R-SIG-Finance] Monte Carlo Option Pricing formula
Hi, Darko,
Am 02.02.2012 07:44, schrieb Roupell, Darko:
Hi All,
I am trying to cross check option implied employee option price that was
derived using Monte Carlo simulation. Below is code and parameter used and
after accounting
@yahoo.**deenricoschum...@yahoo.de
]
Sent: Thursday, 2 February 2012 8:45 PM
To: Roupell, Darko
Cc: r-sig-finance@r-project.org
Subject: Re: [R-SIG-Finance] Monte Carlo Option Pricing formula
Hi, Darko,
Am 02.02.2012 07:44, schrieb Roupell, Darko:
Hi All,
I am trying to cross check
Roupell, Darko darko.roup...@cba.com.au [2012-02-02 15:37]:
What I find the most puzzling is that even if I re-code using sample from
matlab the results obtained in R are very different to those obtained by
matlab, despite using the same parameters apart of Rnorm(). As I am at loss I
am
Hi, Darko,
Am 02.02.2012 07:44, schrieb Roupell, Darko:
Hi All,
I am trying to cross check option implied employee option price that was
derived using Monte Carlo simulation. Below is code and parameter used and
after accounting for dividend yield ( 1.46%) the derived option price is
Hi All,
I am trying to cross check option implied employee option price that was
derived using Monte Carlo simulation. Below is code and parameter used and
after accounting for dividend yield ( 1.46%) the derived option price is
206.8843 using the code snippet provided. Approx 1 cent below
