blsmc2.m

Numerical Methods In_Finance And Economics Matlab Source Code

function [Price, CI] = BlsMC2(S0,K,r,T,sigma,NRepl)
nuT = (r - 0.5*sigma^2)*T;
siT = sigma * sqrt(T);
DiscPayoff = exp(-r*T)*max(0, S0*exp(nuT+siT*randn(NRepl,1))-K);
[Price, VarPrice, CI] = normfit(DiscPayoff);