mcarlo3.m

Matlab codes for financial models

function V=MCarlo3(S0,X,R,T,SIG,NSteps,NRepl)
DeltaT = T/NSteps;
Shocks= normrnd(0,1,NSteps,NRepl)*SIG*sqrt(DeltaT) + R*DeltaT;
S=S0*prod(1+Shocks,1);
V=exp(-R*T)*sum(max(0,S-X))/NRepl;