XploRe Help : BlackScholesPathIndependent1DQMC

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 BlackScholesPathDependent1D BlackScholesPathDependend1DQMC

Quantlet:		BlackScholesPathIndependent1DQMC
Description:		calculates the option price for path independent options in the Black Scholes model by Quasi-Monte Carlo simulation.

Reference(s):

Niederreiter, H. (1992). Random number generation and quasi-Monte Carlo methods. Capital City Press, Monpellier Vermont.

Link:

Applied Quantitative Finance

Usage:	`z = BlackScholesPathIndependent1DQMC(s0,r,vola,dt,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
	`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 low-discrepancy source which is used in the simulation; possible values are 0, 1, 2
Output:
	`z`	scalar, estimated option price

Example:

library("finance") proc(v) = Put(s0) v =(s0<100) .*(100-s0) endp BlackScholesPathIndependent1DQMC(100,0.045,0.2,1,"Put",10000,0)

Result:

Contents of z

[1,]   5.7917

Author: J. Schumacher, W. Haerdle, 20020214 license MD*Tech