Code covered by the BSD License  

Highlights from
American Monte Carlo

image thumbnail

American Monte Carlo

by

 

Algorithms for pricing American Style derivatives with Monte Carlo Simulation

getPaths(S0, r, sigma, dt, NSim, Nr)
% This is material illustrating the methods from the book
% Financial Modelling  - Theory, Implementation and Practice with Matlab
% source
% Wiley Finance Series
% ISBN 978-0-470-74489-5
%
% Date: 02.05.2012
%
% Authors:  Joerg Kienitz
%           Daniel Wetterau
%
% Please send comments, suggestions, bugs, code etc. to
% kienitzwetterau_FinModelling@gmx.de
%
% (C) Joerg Kienitz, Daniel Wetterau
% 
% Since this piece of code is distributed via the mathworks file-exchange
% it is covered by the BSD license 
%
% This code is being provided solely for information and general 
% illustrative purposes. The authors will not be responsible for the 
% consequences of reliance upon using the code or for numbers produced 
% from using the code. 



function y = getPaths(S0, r, sigma, dt, NSim, Nr)
% Path retrieval for american MC

if length(S0) > 1
    lenS = length(S0);             % for using this with different starting values
    R = exp((r - sigma^2 / 2) * dt ...
    + sigma * sqrt(dt) * randn(NSim,Nr,lenS));   % random noise + drift
    tmp = zeros(NSim,1,lenS);
    tmp(:,1,:) = repmat(log(S0)',NSim,1);
    y = exp(cumsum([tmp, R], 2));    % path set simple example
else
    R = exp((r - sigma^2 / 2) * dt ...
    + sigma * sqrt(dt) * randn(NSim,Nr));   % random noise + drift
    y = cumprod([S0 * ones(NSim,1), R], 2);    % path set simple example
end
end

Contact us