blshalton.m

来自「very good matlab of Monte carlo」· M 代码 · 共 8 行

% BlsHalton.m
function [Price , CI]= BlsHalton(S0,X,r,T,sigma,NPoints)
nuT = (r - 0.5*sigma^2)*T;
siT = sigma * sqrt(T);
H = haltonseq(ceil(NPoints),1);
Norm = norminv(H);
DiscPayoff = exp(-r*T) * max( 0 , S0*exp(nuT+siT*Norm) - X);
[Price, VarPrice, CI] = normfit(DiscPayoff);