mcarlo2.m

Matlab codes for financial models

function V=MCarlo2(S0,X,R,T,SIG,NSteps,NRepl)
DeltaT = T/NSteps;
Counter = 0.0;
for i=1:NRepl
   Shocks= normrnd(0,1,NSteps,1)*SIG*sqrt(DeltaT) + R*DeltaT;
   S=S0*prod(1+Shocks);
   Counter = Counter + max(0,S-X);
end
V=exp(-R*T)*Counter/NRepl;