?? doputmccondold.m
字號(hào):
% DOPutMCCond.m
function [Pdo,CI,NCrossed] = DOPutMCCond(S0,X,r,T,sigma,Sb,NSteps,NRepl)
dt = T/NSteps;
[Call,Put] = blsprice(S0,X,r,T,sigma);
% Generate asset paths and payoffs for the down and in option
NCrossed = 0;
Payoff = zeros(NRepl,1);
for i=1:NRepl
Path=AssetPaths1(S0,r,sigma,T,NSteps,1);
tcrossed = min(find( Path <= Sb ));
if isempty(tcrossed)
payoff(i) = 0;
else
if tcrossed == NSteps + 1
Paux = X - Path(tcrossed);
else
time = (tcrossed-1) * dt;
[Caux,Paux] = blsprice(Path(tcrossed),X,r,T-time,sigma);
end
NCrossed = NCrossed + 1;
Payoff(i) = exp(-r*time) * Paux;
end
end
[Pdo, aux, CI] = normfit(Put - Payoff);
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