| Type: | Package |
| Title: | Use the Given Parameters to Calculate the European Option Value |
| Version: | 0.1.0 |
| Maintainer: | Tai-Sen Zheng <jc3802201@gmail.com> |
| Description: | Calculate the theoretical value of convertible bonds by given parameters, including B-S theory and Monte Carlo method. |
| Imports: | stats |
| License: | GPL-2 |
| Encoding: | UTF-8 |
| RoxygenNote: | 7.2.3 |
| NeedsCompilation: | no |
| Packaged: | 2023-04-24 09:36:34 UTC; admin |
| Author: | Tai-Sen Zheng [aut, cre], Fischer Black [aut] (<https://en.wikipedia.org/wiki/Fischer_Black>), Myron Scholes [aut] (<https://en.wikipedia.org/wiki/Myron_Scholes>), Robert C. Merton [aut] (<https://en.wikipedia.org/wiki/Robert_C._Merton>), John von Neumann [aut] (<https://en.wikipedia.org/wiki/John_von_Neumann>), Stanislaw Ulam [aut] (<https://en.wikipedia.org/wiki/Stanislaw_Ulam>), Nicholas Constantine Metropolis [aut] (<https://en.wikipedia.org/wiki/Nicholas_Metropolis>) |
| Repository: | CRAN |
| Date/Publication: | 2023-04-24 17:10:06 UTC |
Black Schiles Model function Calculating Function Using the Black-Schiles Option Pricing Model
Description
Black Schiles Model function Calculating Function Using the Black-Schiles Option Pricing Model
Usage
black_schiles(
mode = 1,
current_price,
stock_price,
conver_price,
stock_var,
time,
interest_rate,
netdebt_value
)
Arguments
mode |
Two calculation methods, respectively 1 and 2 |
current_price |
Current price of convertible bonds |
stock_price |
Positive stock price |
conver_price |
Conversion price |
stock_var |
Standard deviation of annualized rate of return for underlying stocks |
time |
Expiration time (annualized remaining period) |
interest_rate |
Risk-free continuous compound interest rate |
netdebt_value |
Pure debt value |
Value
Option value per share(numeric)
Examples
result<-black_schiles(mode=1,current_price=122.82,
stock_price=5.9,conver_price=5.43,stock_var=0.2616,time=1.353,
interest_rate=0.018482, netdebt_value=104.05)
Monte Carlo simulation function Predicting Theoretical Value of Options per Share Using Monte Carlo Simulations
Description
Monte Carlo simulation function Predicting Theoretical Value of Options per Share Using Monte Carlo Simulations
Usage
monte_carlo(I, M, S_0, K, Time, r, sigma)
Arguments
I |
number ofsimulation |
M |
number of time steps |
S_0 |
The initial price of the underlying stock |
K |
Exercise price (conversion price) |
Time |
Simulate paths over time intervals |
r |
risk free rate |
sigma |
Volatility (Standard Deviation of Return) |
Value
No return value, called for side effects
Examples
monte_carlo(I=10000,M=50,S_0=5.9,K=5.43,T=1.353,r=0.018482,sigma=0.2616)
Option_value functuon Calculate the four value comparisons:Option value of convertible bond,Theoretical value of convertible bonds (pure bond value + option value),The difference between the theoretical price of convertible bonds and the current price,The ratio of the difference between the theoretical price of convertible bonds and the current price
Description
Option_value functuon Calculate the four value comparisons:Option value of convertible bond,Theoretical value of convertible bonds (pure bond value + option value),The difference between the theoretical price of convertible bonds and the current price,The ratio of the difference between the theoretical price of convertible bonds and the current price
Usage
option_value(value_per, current_price, conver_price, netdebt_value)
Arguments
value_per |
Option value per share(numeric) |
current_price |
Current price of convertible bonds |
conver_price |
Conversion price |
netdebt_value |
Pure debt value |
Value
No return value, called for side effects
Examples
option_value( value_per=1.02,current_price=122.82,conver_price=5.43,netdebt_value=104.05 )