static void TestMonteCarloBSAsian(double sigma, double S, double K, double r)
{
int N = 100000;
BlackScholesMonteCarlo mc = new BlackScholesMonteCarlo(sigma, r, N);
double[] monitorDates = new double[] { 0.25, 0.5, 1 };
double exerciseT = 1;
Console.WriteLine("Asian: {0}", mc.CalculateAsianCallOptionPrice(S, K, monitorDates, exerciseT));
}
public double CalcAvgMonteCaroError(int nForAverage, int N)
{
double callOptionPriceBS = BlackScholesFormula.CalculateCallOptionPrice(sigma, S, K, r, T);
double avgErr = 0;
for (int i = 0; i < nForAverage; ++i)
{
BlackScholesMonteCarlo mc = new BlackScholesMonteCarlo(sigma, r, N);
double mcPrice = mc.CalculateEuropeanCallOptionPrice(S, K, T);
avgErr += Math.Abs(mcPrice - callOptionPriceBS);
}
return(avgErr / nForAverage);
}