Code covered by the BSD License  

Highlights from
American Monte Carlo

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American Monte Carlo

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Algorithms for pricing American Style derivatives with Monte Carlo Simulation

knockinpayoff(S,K,Barrier,type)
% 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 = knockinpayoff(S,K,Barrier,type)
% payoff of a knock-in barrier options
    [M,n] = size(S);
    if type==0
        maximum = zeros(M,n);
        for i=1:n
            maximum(:,i) = max(S(:,1:i), [], 2);
        end
        ind = maximum >= Barrier;
        y = max(S - K, 0) .* ind;
        
    else
        minimum = zeros(M,n);
        for i=1:n
            minimum(:,i) = min(S(:,1:i), [], 2);
        end
        ind = minimum <= Barrier;
        y = max(K - S, 0) .* ind;
    end

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