public static double SimpleMonteCarlo4(VanillaOption option,
double spot,
Parameters vol,
Parameters r,
ulong number_of_paths)
{
double expiry = option.Expiry;
double variance = vol.IntegralSquare(0, expiry);
double root_variance = Math.Sqrt(variance);
double moved_spot = spot * Math.Exp(r.Integral(0, expiry) - 0.5 * variance);
double this_spot;
double running_sum = 0;
for (ulong i = 0; i < number_of_paths; i++)
{
double this_gaussian = MyRandom.GetOneGaussianByBoxMuller();
this_spot = moved_spot * Math.Exp(root_variance * this_gaussian);
running_sum += option.OptionPayOff(this_spot);
}
return Math.Exp(-r.Integral(0, expiry)) * (running_sum / number_of_paths);
}
static void Main(string[] args)
{
//parameters
double expiry = 1.0;
double strike = 50.0;
double spot = 49.0;
ParametersConstant vol = new ParametersConstant(0.2);
ParametersConstant r = new ParametersConstant(0.01);
//input number of montecarlo paths
ulong number_of_paths = 10000;
Console.Write("Enter number of montecarlo paths : ");
number_of_paths = ulong.Parse(Console.ReadLine());
//create payoff & option object
PayOff payoff = new PayOffCall(strike);
//implicit convert
VanillaOption option1 = new VanillaOption(payoff, expiry);
//montecarlo simulation & output result
double result = SimpleMC6.SimpleMonteCarlo4(option1, spot, vol, r, number_of_paths);
Console.WriteLine("the call price is " + result.ToString());
}