intimpsampl.m

Matlab codes for financial models

i=1;
sz=2^6;
m=1000;

for x=0:(1/sz):(1-1/sz),
   g(i) = (1- (x+1/(2*sz))^2)^(1/2);
   i=i+1;
end

rgh=sum(g)/sz;

k=sz;
cs=cumsum(g);
for j=1:m
   loc=sum(rand*cs(k) > cs) +1;
   x=(loc-1)/k + rand/k;
   p=g(loc)/cs(k);
   est(j) = ((1-x^2)^(1/2))/(p*k);
end
answer1 = sum(est)/m

vlt=(1-rand(1,1000).^2).^(1/2);
answer2 = sum(vlt)/m