Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: finance
See also: BlackScholesPathIndependentMDDiv BlackScholesPathIndependentMD BlackScholesPathIndependent1D BlackScholesPathDependent1DQMC

Quantlet: BlackScholesPathDependent1D
Description: calculates the option price and its standard deviation for path dependent options in the Black Scholes model by Monte Carlo simulation.

Usage: {z,v} = BlackScholesPathDependent1D(s0,r,vola,timepath,payoff,iterations,gennum)
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
z scalar, estimated option price
v scalar, standard deviation of the price estimate

proc(v) = Asian50Call(spath)
  avg = sum(spath)/50
  v =(avg > 100).*(avg-100)
times =(0:49)/49

The results can slightly vary with every execution
of this example!

Contents of _tmp.z
[1,]   5.5961

Contents of _tmp.v
[1,]  0.079504

Author: J. Schumacher, W. Haerdle, 20020214 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006