noticed that 5 minutes afterwards. :) Thanx


Kind regards,-- 
Dominykas Grigonis


On Saturday, 13 April 2013 at 12:42, Enrico Schumann wrote:

> On Sat, 13 Apr 2013, Dominykas Grigonis <dominykasgrigonis@gmail.com (mailto:dominykasgrigonis@gmail.com)> writes:
> 
> > Valuing european call option by taking expectation and integrating:
> > 
> > gmb <- function(x,s0=100,r=0.05,vol=0.1){
> > s0*exp( (r - vol^2/2) + vol * x)}
> > 
> > fun <- function(x, K=100){
> > (gbm(x) - 100) * dnorm(x)}
> > 
> > min = -(log(1) + (0.05-0.1^2/2)) / 0.1
> > integrate(fun,min,Inf)
> > 
> > could someone tell me what am I doing wrong? I do not even know if this is R related question or not... 
> > 
> > returns 7.153855, while actual risk neutral price is 6.804958
> > 
> > Thank you in advance.
> > 
> > Kind regards,-- 
> > Dominykas Grigonis
> > 
> 
> 
> I did not run your code, but shouldn't you discount the result?
> 
> 
> 
> -- 
> Enrico Schumann
> Lucerne, Switzerland
> http://enricoschumann.net
> 
> 



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