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    api-516881339
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    This document contains code to simulate the price of a lookback put option using Halton paths with varying numbers of replications. It defines a function to calculate the lookback put price and confidence intervals, runs the simulation with initial parameters, and calls the function multiple times with increasing numbers of replications to observe the convergence of the estimated price and width of the confidence intervals.

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    This document contains code to simulate the price of a lookback put option using Halton paths with varying numbers of replications. It defines a function to calculate the lookback put price and confidence intervals, runs the simulation with initial parameters, and calls the function multiple times with increasing numbers of replications to observe the convergence of the estimated price and width of the confidence intervals.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as docx, pdf, or txt
    85 views2 pages

    New Microsoft Word Document 3 1

    Uploaded by

    api-516881339
    This document contains code to simulate the price of a lookback put option using Halton paths with varying numbers of replications. It defines a function to calculate the lookback put price and confidence intervals, runs the simulation with initial parameters, and calls the function multiple times with increasing numbers of replications to observe the convergence of the estimated price and width of the confidence intervals.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as docx, pdf, or txt
    of 2

    Hw1:

    % LookbackHaltonPut.m
    function [P,CI] =
    LookbackHaltonPut(S0,X,r,T,sigma,NSteps,NRepl)
    Payoff = zeros(NRepl,1);
    Path=HaltonPaths(S0,r,sigma,T,NSteps,NRepl);
    Payoff = max(0, max(Path,[],2) - X);
    [P,aux,CI] = normfit(exp(-r*T) * Payoff);

    S0=50;
    X=50;
    r=0.1;
    T=5/12;
    sigma=0.4;
    NSteps=5;
    NRepl1=1000;
    NRepl2=2000;
    NRepl3=3000;
    NRepl4=10000;
    NRepl5=30000;

    [Lookback1000,CI1]=LookbackHaltonPut(S0,X,r,T,sigma,NSteps,N
    Repl1);
    [Lookback2000,CI2]=LookbackHaltonPut(S0,X,r,T,sigma,NSteps,N
    Repl2);
    [Lookback3000,CI3]=LookbackHaltonPut(S0,X,r,T,sigma,NSteps,N
    Repl3);
    [Lookback10000,CI4]=LookbackHaltonPut(S0,X,r,T,sigma,NSteps,
    NRepl4);
    [Lookback30000,CI5]=LookbackHaltonPut(S0,X,r,T,sigma,NSteps,
    NRepl5);

    Lookback1000
    CI1
    Lookback2000
    CI2
    Lookback3000
    CI3
    Lookback10000
    CI4
    Lookback30000
    CI5

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