genpaths.m

几何布朗运动的Monte Carlo模拟以及美式期权定价

function spaths=genpaths(St,r,sigma,T,m,b,seed)
% genenrating paths of the underlying asset using normal Monte Carlo
% simulation
dt=T/m;
nudt=(r-0.5*sigma^2)*dt;
sidt=sigma*sqrt(dt);
% random numbers matrix
randn('state',seed);
randmat=randn(b,m);
increments=nudt+sidt*randmat;
logpaths=cumsum([log(St)*ones(b,1),increments],2);
spaths=exp(logpaths);