sbgenerate.m

来自「Price the American put option via Monte 」· M 代码 · 共 14 行

function S=generate(S0,N,M,sigma,u)
dt=1/N; %N number of steps M number of paths

for i=1:M
    S(i,1)=S0;
end

for i=1:M
    for j=2:N
       eps=randn;
       S(i,j)=S(i,j-1)*(1+u*dt+sigma*eps*sqrt(dt));
    end
end