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 BlackScholesPathDependent1D

Quantlet: BlackScholesPathDependent1DQMC
Description: calculates the price for path dependent options in the Black Scholes model by applying Quasi-Monte Carlo simulation in connection with a Brownian Bridge construction.


Usage: z = BlackScholesPathDependent1DQMC(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
timepath T x 1 vector of time values for which the underlying values have to be generated. The first entry represents the starting time.
payoff string, name of the payoff function for the option product
iterations scalar, number of simulations
gennum scalar, number of the low discrepancy sequence used in the simulation
z scalar, estimated option price

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

Contents of z
[1,]   5.6194

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