optionprice (MatLab R2007b)

Required by XFGIBT03.m.

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Applied Quantitative Finance

Fri, July 27 2012 by Dedy Dwi Prastyo


function[c]=optionprice(K, S, r, level, deltat,task)
  %sdata = load('C:Dokumente und EinstellungenAlena MysickovaEigene DateienStatistikXFGDataXFGIBTmcsimulation20.txt');
  global simdata
  ss=simdata(1+(level-1)*1000:(level)*1000,1);
  if(task==1)
    c=exp(-r*level*deltat)*mean(ss-K+abs(ss-K))/2;
  else
    c=exp(-r*level*deltat)*mean(K-ss+abs(K-ss))/2;
  end