MonteCarloInitByVolatility Method

public void InitByVolatility(
	double stockPrice,
	double strikePrice,
	double riskFreeRate,
	double annualDividendYield,
	double timeToMaturity,
	OptionType optionType,
	OptionStyle optionStyle,
	int steps,
	double volatility
)

Parameters

stockPrice

Type: SystemDouble
Stock price of the underlying asset.

strikePrice

Type: SystemDouble
Strike price of the undelying asset.

riskFreeRate

Type: SystemDouble
Risk-free interest rate (e.g. value 0.02 means that yearly risk-free income equals to 2 % of initial money amount if there is no capitalization of interest).

annualDividendYield

Type: SystemDouble
Annual dividend yield of the underlying asset (sense of this value is analogous to sense of riskFreeRate value).

timeToMaturity

Type: SystemDouble
Time to the expiration date measured in years.

optionType

Type: FinMath.DerivativesOptionType
Type of option (call/put).

optionStyle

Type: FinMath.DerivativesOptionStyle
Option style (European/American).

steps

Type: SystemInt32
Number of steps in binomial model.

volatility

Type: SystemDouble
Volatility of the underlying asset.

Reference