doputmc1.m

来自「Matlab codes for financial models」· M 代码 · 共 11 行

% DOPutMC1.m
function P = DOPutMC1(S0,X,r,T,sigma,Sb,NSteps,NRepl)
% Generate asset paths
count = 0;
[Call,Put] = blsprice(S0,X,r,T,sigma);
for i=1:NRepl
   SPaths=AssetPaths1(S0,r,sigma,T,NSteps,1);
   ii = any(SPaths <= Sb);
   count = count + any(SPaths <= Sb);
end
P = count*Put/NRepl;