?? mcarlo4.m
字號(hào):
function V=MCarlo4(S0,X,R,T,SIG,NSteps,NRepl)
DeltaT = T/NSteps;
randmatrix = normrnd(0,1,NSteps,NRepl);
randmatrix = [randmatrix, -randmatrix];
Shocks = randmatrix*SIG*sqrt(DeltaT) + R*DeltaT;
S=S0*prod(1+Shocks,1);
V=exp(-R*T)*sum(max(0,S-X))/(2*NRepl);
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