?? doputmc2.m
字號:
% DOPutMC2.m
function P = DOPutMC2(S0,X,r,T,sigma,Sb,NSteps,NRepl)
% Generate asset paths
[Call,Put] = blsprice(S0,X,r,T,sigma);
TotPayoff = 0;
for i=1:NRepl
Path=AssetPaths1(S0,r,sigma,T,NSteps,1);
crossed = any(Path <= Sb);
if crossed == 0
TotPayoff = TotPayoff + max(0, X - Path(NSteps+1));
end
end
P = exp(-r*T) * TotPayoff / NRepl;
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