XploRe Help : BlackScholesPathDependent1D

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.

Link:

Applied Quantitative Finance

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

Example:

library("finance") proc(v) = Asian50Call(spath) avg = sum(spath)/50 v =(avg > 100).*(avg-100) endp times =(0:49)/49 BlackScholesPathDependent1D(100,0.045,0.2,times,"Asian50Call",10000,3)

Result:

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