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    This document discusses Monte Carlo simulation methods for pricing various path-dependent options, including Asian options, lookback options, and compares using standard Monte Carlo with Halton sequences. It provides MATLAB code to simulate asset paths and calculate option prices and confidence intervals for each option type. The options priced include an Asian call, Asian option, lookback call, and lookback put. Simulation results are provided for different numbers of sample paths and replications to demonstrate convergence of the price estimates.

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    103071509 hw10

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    This document discusses Monte Carlo simulation methods for pricing various path-dependent options, including Asian options, lookback options, and compares using standard Monte Carlo with Halton sequences. It provides MATLAB code to simulate asset paths and calculate option prices and confidence intervals for each option type. The options priced include an Asian call, Asian option, lookback call, and lookback put. Simulation results are provided for different numbers of sample paths and replications to demonstrate convergence of the price estimates.

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    14 views10 pages

    HW 10

    Uploaded by

    api-289357184
    This document discusses Monte Carlo simulation methods for pricing various path-dependent options, including Asian options, lookback options, and compares using standard Monte Carlo with Halton sequences. It provides MATLAB code to simulate asset paths and calculate option prices and confidence intervals for each option type. The options priced include an Asian call, Asian option, lookback call, and lookback put. Simulation results are provided for different numbers of sample paths and replications to demonstrate convergence of the price estimates.

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    of 10

    Homework10

    103071509


    AsianHalton-max{A-X,0}
    % AsianHalton.m
    function P = AsianHalton(S0,X,r,T,sigma,NSamples,NRepl)
    Payoff = zeros(NRepl,1);
    Path=HaltonPaths(S0,r,sigma,T,NSamples,NRepl);
    Payoff = max(0, mean(Path(:,2:(NSamples+1)),2) - X);
    P = mean( exp(-r*T) * Payoff);

    % CompAsianHalton.m
    S0=50;
    X=50;
    r=0.1;
    T=5/12;
    sigma=0.4;
    NSamples=5;
    NRepl1=1000;
    NRepl2=2000;
    NRepl3=3000;
    NRepl4=10000;
    NRepl5=30000;
    AsianHalton1000=AsianHalton(S0,X,r,T,sigma,NSamples,NRepl1);
    AsianHalton2000=AsianHalton(S0,X,r,T,sigma,NSamples,NRepl2);
    AsianHalton3000=AsianHalton(S0,X,r,T,sigma,NSamples,NRepl3);
    AsianHalton10000=AsianHalton(S0,X,r,T,sigma,NSamples,NRepl4);
    AsianHalton30000=AsianHalton(S0,X,r,T,sigma,NSamples,NRepl5);
    AsianHalton1000
    AsianHalton2000
    AsianHalton3000
    AsianHalton10000
    AsianHalton30000

    AsianHalton1000=
    4.0289
    AsianHalton2000=
    3.9979
    AsianHalton3000=
    3.9619
    AsianHalton10000=
    3.9441
    AsianHalton30000=
    3.9742


    Asian option-max{S(T)-A,0}
    % AsianMC.m
    function [P,CI] = AsianMC(S0,r,T,sigma,NSamples,NRepl)
    Payoff = zeros(NRepl,1);
    for i=1:NRepl
    Path=AssetPaths(S0,r,sigma,T,NSamples,1);
    Payoff(i) = max(0, Path(NSamples+1)-mean(Path(2:(NSamples+1))));
    end
    [P,auc,CI] = normfit( exp(-r*T) * Payoff);

    >> [P,CI] = AsianMC(50,0.1,5/12,0.4,10,100)


    P=
    2.9419
    CI =
    1.9115
    3.9723


    Look Back Call:S(T)-

    : AssetPaths

    P=
    %CompLookbackC.m
    S0=50;
    r=0.1;
    8.7180
    T=5/12;
    sigma=0.4;
    CI =
    NSamples=10;
    NRepl=100;
    8.5306
    Path=AssetPaths(S0,r,sigma,T,NSampl [P,CI] =
    8.9053
    es,1);
    LookbackC(S0,r,T,sigma,NSamp
    les,NRepl)
    Payoff(i) = max(0,
    Path(NSamples+1)-min(Path));
    end
    [P,auc,CI] = normfit( exp(-r*T) *
    Payoff);

    %LookbackC.m
    function [P,CI] =
    LookbackC(S0,r,T,sigma,NSamples,NR
    epl)
    Payoff = zeros(NRepl,1);
    for i=1:NRepl

    :HaltonPaths
    %LookbackCHalton.m
    function [P,CI] =
    LookbackCHalton(S0,r,T,sigma,NS
    amples,NRepl)
    Path=HaltonPaths(S0,r,sigma,T,NS
    amples,NRepl);
    Payoff = max(0,
    Path(:,NSamples+1)min(Path,[],2));
    [P,auc,CI] = normfit( exp(-r*T) *
    Payoff);

    %CompLookbackCHalton.m
    S0=50;
    r=0.1;
    T=5/12;
    sigma=0.4;
    NSamples=10;
    NRepl=10000;
    [P,CI] =
    LookbackCHalton(S0,r,T,sigma,N
    Samples,NRepl)

    P=
    8.6852
    CI =
    8.4924
    8.8780


    Look Back Put: S(T)
    : AssetPaths

    %LookbackP.m
    function [P,CI] =
    LookbackP(S0,r,T,sigma,NSamples,NRe
    pl)
    Payoff = zeros(NRepl,1);
    for i=1:NRepl
    Path=AssetPaths(S0,r,sigma,T,NSampl
    es,1);
    Payoff(i) = max(0,max(Path)Path(NSamples+1));
    end
    [P,auc,CI] = normfit( exp(-r*T) *
    Payoff);

    %CompLookbackP.m
    S0=50;
    r=0.1;
    T=5/12;
    sigma=0.4;
    NSamples=10;
    NRepl=10000;
    [P,CI] =
    LookbackP(S0,r,T,sigma,NS
    amples,NRepl)

    P=
    7.4015
    CI =
    7.2766
    7.5263

    :
    HaltonPaths
    %LookbackPHalton.m
    function [P,CI] =
    LookbackPHalton(S0,r,T,si
    gma,NSamples,NRepl)
    Path=HaltonPaths(S0,r,sig
    ma,T,NSamples,NRepl);
    Payoff = max(0,
    max(Path,[],2)Path(:,NSamples+1));
    [P,auc,CI] = normfit( exp(r*T) * Payoff);

    %CompLookbackPHalton.m
    S0=50;
    r=0.1;
    T=5/12;
    sigma=0.4;
    NSamples=10;
    NRepl=10000;
    [P,CI] =
    LookbackPHalton(S0,r,T,sigma,NSa
    mples,NRepl)

    P=
    7.4248
    CI =
    7.2993
    7.5503

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