vanillapricingusingdifferentmethods.m

very good matlab of Monte carlo

clear all;
close all;

NbSimu = 20000 : 20000: 200000;
NbPoints = numel(NbSimu);

ResAV =  zeros(NbPoints,1);
ResMC =  zeros(NbPoints,1);
ResMCCV =  zeros(NbPoints,1);
ResSobol = zeros(NbPoints,1);
ResHalton = zeros(NbPoints,1);

CIAV   =  zeros(NbPoints,2);
CIMC   =  zeros(NbPoints,2);
CIMCCV =  zeros(NbPoints,2);
CIQMC  = zeros(NbPoints,2);
CIHalton = zeros(NbPoints,2);


BLprice = blsprice(100,100,0.03,0.25,0.5,0);
%% Run 
for i = 1 :numel(NbSimu)
  disp(['Computing Iteration N