select.m

来自「Price the American put option via Monte 」· M 代码 · 共 17 行

function [X,Y]=select(S,S0,N,M,sigma,u,K,r,j)
A=S(1:M,j);
B=S(1:M,j+1);
dt=1/N;

a=1;
for i=1:M
    if K-A(i)>0
        X(a)=A(i);
        Y(a)=max(K-B(i),0)*exp(-r*dt);
        a=a+1;
    end
end