asianhalton.m

来自「Matlab codes for financial models」· M 代码 · 共 6 行

% AsianHalton.m
function P = AsianHalton(S0,X,r,T,sigma,NSamples,NRepl)
Payoff = zeros(NRepl,1);
Path=HaltonPaths(S0,r,sigma,T,NSamples,NRepl);
Payoff = max(0, mean(Path(:,2:(NSamples+1)),2) - X);
P = mean( exp(-r*T) * Payoff);