blsdeltamc.m

Numerical Methods In_Finance And Economics Matlab Source Code

function [Delta, CI] = BlsDeltaMC(S0,K,r,T,sigma,dS,NRepl)
nuT = (r - 0.5*sigma^2)*T;
siT = sigma * sqrt(T);
S1 = S0 - dS;
S2 = S0 + dS;
Veps = randn(NRepl,1);
Payoff1 = max(0, S1*exp(nuT+siT*Veps)-K);
Payoff2 = max(0, S2*exp(nuT+siT*Veps)-K);
SampleDiff = exp(-r*T)*(Payoff2 - Payoff1)/2/dS;
[Delta, dummy, CI] = normfit(SampleDiff);