blsdeltamcnaive.m

Numerical Methods In_Finance And Economics Matlab Source Code

function [Delta, CI] = BlsDeltaMCNaive(S0,K,r,T,sigma,dS,NRepl)
nuT = (r - 0.5*sigma^2)*T;
siT = sigma * sqrt(T);
Payoff1 = max(0, S0*exp(nuT+siT*randn(NRepl,1))-K);
Payoff2 = max(0, (S0+dS)*exp(nuT+siT*randn(NRepl,1))-K);
SampleDiff = exp(-r*T)*(Payoff2 - Payoff1)/dS;
[Delta, dummy, CI] = normfit(SampleDiff);