ayliscript.m

Numerical Methods In_Finance And Economics Matlab Source Code

% AYLIScript.m
S0 = 50;
K = 50;
r = 0.05;
T1 = 2/12;
T2 = 7/12;
sigma = 0.4;
NRepl1 = 100;
NRepl2 = 100;
[Call, Put] = blsprice(S0,K,r,T2,sigma);
randn('state',0);
[Price, CI] = AYLIMC(S0,K,r,T1,T2,sigma,NRepl1,NRepl2);
rand('state',0);
[PriceCond, CICond] = AYLIMCCond(S0,K,r,T1,T2,sigma,NRepl1*NRepl2);
fprintf(1,'Call = %f Put = %f\n', Call, Put);
fprintf(1,'MC ->      Price = %f   CI = (%f, %f) \n', ...
    Price, CI(1), CI(2));
fprintf(1,'           Ratio = %6.4f%%\n', ...
    100*(CI(2)-CI(1))/Price);
fprintf(1,'MC+Cond -> Price = %f   CI = (%f, %f) \n', ...
    PriceCond, CICond(1), CICond(2));
fprintf(1,'           Ratio = %6.4f%%\n', ...
    100*(CICond(2)-CICond(1))/PriceCond);