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 BlackScholesPathDependend1D BlackScholesPathDependent1DQMC

Quantlet: BlackScholesPathIndependent1D
Description: calculates the option price and its standard deviation for path independent options in the Black Scholes model by Monte Carlo simulation.

Usage: {z,v} = BlackScholesPathIndependent1D(s0,r,vola,dt,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
dt scalar, time to maturity 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) = Put(s0)
  v =(s0<100) .*(100-s0)

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

Contents of _tmp.z
[1,]   5.6505

Contents of _tmp.v
[1,]  0.088035

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