Usage: |
z = BlackScholesPathDependent1DQMC(s0,r,vola,timepath,payoff,iterations,gennum)
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Input: |
| s0 | scalar, price of the underlying at time 0
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| r | scalar, risk free interest rate 5% = 0.05
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| vola | scalar, volatility of the log price process
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| timepath | T x 1 vector of time values for which the underlying values
have to be generated. The first entry represents the starting time.
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| payoff | string, name of the payoff function for the option product
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| iterations | scalar, number of simulations
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| gennum | scalar, number of the low discrepancy sequence used in the simulation
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Output: |
| z | scalar, estimated option price |