Usage: |
z = BlackScholesPathIndependent1DQMC(s0,r,vola,dt,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 20% = 0.2
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| dt | scalar, time to maturity in years
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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 source which is used in the simulation;
possible values are 0, 1, 2
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Output: |
| z | scalar, estimated option price |