compareasian.m

Numerical Methods In_Finance And Economics Matlab Source Code

% CompareAsian.m
randn('state',0)
S0 = 50;
K = 55;
r = 0.05;
sigma = 0.4;
T = 1;
NSamples = 12;
NRepl = 9000;
NPilot = 1000;
[P1,CI1] = AsianMC(S0,K,r,T,sigma,NSamples,NRepl+NPilot)
[P2,CI2] = AsianMCCV(S0,K,r,T,sigma,NSamples,NRepl,NPilot)
[P3,CI3] = AsianMCGeoCV(S0,K,r,T,sigma,NSamples,NRepl,NPilot)