Usage: |
{z,v} = BlackScholesPathDependent1D(s0,r,vola,timepath,payoff,iterations,gennum)
|
Input: |
| s0 | scalar, price of the underlying at time 0
|
| r | scalar, risk free interest rate 5% = 0.05
|
| vola | scalar, volatility of the log price process 20% = 0.2
|
| timepath | T x 1 vector of time values for which the underlying values
have to be generated. The first entry represents the starting
time. Times are specified in years.
|
| payoff | string, name of the payoff function for the option product.
|
| iterations | scalar, number of simulations
|
| gennum | scalar, number of the random source which is used in the simulation
|
Output: |
| z | scalar, estimated option price |
| v | scalar, standard deviation of the price estimate |