blsdeltamcpath1.m

Numerical Methods In_Finance And Economics Matlab Source Code

function [Delta, CI] = BlsDeltaMCPath(S0,K,r,T,sigma,NRepl)
nuT = (r - 0.5*sigma^2)*T;
siT = sigma * sqrt(T);
VLogn = exp(nuT+siT*randn(NRepl,1));
SampleDelta = exp(-r*T) .* VLogn .* (S0*VLogn > K);
[Delta, dummy, CI] = normfit(SampleDelta);