| Title: | Use the Given Parameters to Calculate the European Option Value |
|---|---|
| Description: | Calculate the theoretical value of convertible bonds by given parameters, including B-S theory and Monte Carlo method. |
| Authors: | 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>) |
| Maintainer: | Tai-Sen Zheng <[email protected]> |
| License: | GPL-2 |
| Version: | 0.1.0 |
| Built: | 2025-02-07 04:56:36 UTC |
| Source: | https://github.com/aughunter/convertbonds |
Black Schiles Model function Calculating Function Using the Black-Schiles Option Pricing Model
black_schiles( mode = 1, current_price, stock_price, conver_price, stock_var, time, interest_rate, netdebt_value )black_schiles( mode = 1, current_price, stock_price, conver_price, stock_var, time, interest_rate, netdebt_value )
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 |
Option value per share(numeric)
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)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
monte_carlo(I, M, S_0, K, Time, r, sigma)monte_carlo(I, M, S_0, K, Time, r, sigma)
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) |
No return value, called for side effects
monte_carlo(I=10000,M=50,S_0=5.9,K=5.43,T=1.353,r=0.018482,sigma=0.2616)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
option_value(value_per, current_price, conver_price, netdebt_value)option_value(value_per, current_price, conver_price, netdebt_value)
value_per |
Option value per share(numeric) |
current_price |
Current price of convertible bonds |
conver_price |
Conversion price |
netdebt_value |
Pure debt value |
No return value, called for side effects
option_value( value_per=1.02,current_price=122.82,conver_price=5.43,netdebt_value=104.05 )option_value( value_per=1.02,current_price=122.82,conver_price=5.43,netdebt_value=104.05 )