blshaltonbm.m

Numerical Methods In_Finance And Economics Matlab Source Code

function Price = BlsHaltonBM(S0,K,r,T,sigma,NPoints,Base1,Base2)
nuT = (r - 0.5*sigma^2)*T;
siT = sigma * sqrt(T);
% Use Box Muller to generate standard normals
H1 = GetHalton(ceil(NPoints/2),Base1);
H2 = GetHalton(ceil(NPoints/2),Base2);
VLog = sqrt(-2*log(H1));
Norm1 = VLog .* cos(2*pi*H2);
Norm2 = VLog .* sin(2*pi*H2);
Norm = [Norm1 ; Norm2];
%
DiscPayoff = exp(-r*T) * max( 0 , S0*exp(nuT+siT*Norm) - K);
Price = mean(DiscPayoff);