blsmc1.m

Numerical Methods In_Finance And Economics Matlab Source Code

% BlsMC1.m
function Price = BlsMC1(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 = mean(DiscPayoff);