Code covered by the BSD License

# American Monte Carlo

### Kienitz Wetterau FinModelling (view profile)

Algorithms for pricing American Style derivatives with Monte Carlo Simulation

getPathsAsian(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
%
% 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,m] = getPathsAsian(S0, r, sigma, dt, NSim, Nr)
% path retrieval for Asian options

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));
y = cumprod([S0*ones(NSim,1), R], 2); %S0 in Spalte 1 -> Indexverschiebung

end

tmp = repmat(1:Nr, NSim, 1); %Hilfsmatrix
m = [y(:,1) cumsum(y(:,2:end), 2) ./ tmp];

end```