Pricing Models

price!(fin_obj<:CallOption, pricing_model::Type{<:Model};kwargs...)

Computes the value of a given financial object.

Syntax

price!(fin_obj, PricingModelType; kwargs...)

key word arguments vary depending on the Pricing Model Type.

Example

# create a base asset
a_stock = Stock(41; volatility=.3)

# create a European call option 
a_fin_inst = EuroCallOption(a_stock, 40; risk_free_rate=.05) 

# add binomial tree call value to the options value dictionary
price!(a_fin_inst, BinomialTree)  

price!(fin_obj<:CallOption, pricing_model::Type{<:Model};kwargs...)

Computes the value of a given financial object.

Syntax

price!(fin_obj, PricingModelType; kwargs...)

key word arguments vary depending on the Pricing Model Type.

Example

# create a base asset
a_stock = Stock(41; volatility=.3)

# create a European call option 
a_fin_inst = EuroCallOption(a_stock, 40; risk_free_rate=.05) 

# add binomial tree call value to the options value dictionary
price!(a_fin_inst, BinomialTree)  

price!(fin_obj<:CallOption, pricing_model::Type{<:Model};kwargs...)

Computes the value of a given financial object.

Syntax

price!(fin_obj, PricingModelType; kwargs...)

key word arguments vary depending on the Pricing Model Type.

Example

# create a base asset
a_stock = Stock(41; volatility=.3)

# create a European call option 
a_fin_inst = EuroCallOption(a_stock, 40; risk_free_rate=.05) 

# add binomial tree call value to the options value dictionary
price!(a_fin_inst, BinomialTree)  

price!(fin_obj::Option, MonteCarlo{MonteCarloModel}; kwargs...)

computes the option price using Monte Carlo simulation methods with the MonteCarloModel specified. Note: Only European Options call be priced via Monte Carlo methods.

MonteCarloModel types:

• LogDiffusion
• MCBootstrap

Keyword arguments

For LogDiffusion model

• n_sims: Number of simulations to be run. Default 100.
• sim_size: The number of generated steps in each simulated run. Default 100.

For MCBootstrap model

• n_sims: Number of simulations to be run. Defualt 100
• bootstrap_method: block bootstrap method to be used. Must be a subtype of TSBootMethod. Defualt=Stationary

Examples

prices = [1,4,3,4,2,5,6,4,7,5];
stock = Stock(prices);
call = EuroCallOption(stock, 8);

price!(call, MonteCarlo{LogDiffusion}; n_sims=50, sim_size=250)
price!(call, MonteCarlo{MCBootstrap}; bootstrap_method=CircularBlock, n_sims=10)