QFRM (version 1.0.1)

ForwardStartMC: Forward Start option valuation via Monte-Carlo (MC) simulation

Description

S3 object pricing model for a forward start European option using Monte Carlo simulation

Usage

ForwardStartMC(o = OptPx(Opt(Style = "ForwardStart")), tts = 0.1, NPaths = 5)

Arguments

o

An object of class OptPx

tts

Time to start of the option, in years.

NPaths

The number of MC simulation paths.

Value

A list of class ForwardStartMC consisting of the input object OptPx and the appended new parameters and option price.

Details

A standard European option starts at a future time tts.

References

Hull, John C., Options, Futures and Other Derivatives, 9ed, 2014. Prentice Hall. ISBN 978-0-13-345631-8, http://www-2.rotman.utoronto.ca/~hull/ofod/index.html. http://investexcel.net/forward-start-options/

Examples

(o = ForwardStartMC())$PxMC

o = OptPx(Opt(Style='ForwardStart'), q = 0.03, r = 0.1, vol = 0.15)
(o = ForwardStartMC(o, tts=0.25))$PxMC

ForwardStartMC(o = OptPx(Opt(Style='ForwardStart', Right='Put')))$PxMC