mcarlo4.m

来自「Matlab codes for financial models」· M 代码 · 共 8 行

function V=MCarlo4(S0,X,R,T,SIG,NSteps,NRepl)
DeltaT = T/NSteps;
randmatrix = normrnd(0,1,NSteps,NRepl);
randmatrix = [randmatrix, -randmatrix];
Shocks = randmatrix*SIG*sqrt(DeltaT) + R*DeltaT;
S=S0*prod(1+Shocks,1);
V=exp(-R*T)*sum(max(0,S-X))/(2*NRepl);