[R-SIG-Finance] Option valuation for arbitrary distribution using monte carlo simulation

[msalese]

You can tray to use non normal innovations (sampled from stable
distribution),
but you have to estimate alpha, beta, gamma and delta parameters

innovation.stable<-function(pTrials=5000,pAlpha=1.7,pBeta=0.5,pGamma=1,pDelta=1,pPm=0){
  #you must estimate parameters from past data using stableFit
  #alpha -> index tail (0,2]
  #beta -> skewness [-1,1]
  #gamma -> scale 
  #delta -> shift
  #pm -< parametrizzation (0,1,2)
  require(package='fBasics',quietly=FALSE)
  z <-
rstable(n=pTrials,alpha=pAlpha,beta=pBeta,gamma=pGamma,delta=pDelta,pm=pPm)
  #genereta anthitetic innovation
  ant.z <--z
  #combine in the new one:
  z <- c(z,ant.z)
  #return innovation vector
  return(z)
}
##############################à
Iacus' Book starts teaching you to price with normal innovations and then
improves the code and teachs you how to parallelize all.



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