public override double optionprice_cv(out double se)
{
Simulation sim = new Simulation();
double[,] stockmatrix = sim.simulation(trials, steps, r, T, sigma, s, randsaved, index_anti, threadingindex);
double[,] payoff = new double[trials, 1];
double cv1, cv2;
double delta, delta2;
double dt = T / steps;
double num = -1;
double sum_ct = 0;
double sum_ct2 = 0;
double d2;
for (int i = 0; i < trials; i++)
{
cv1 = 0;
cv2 = 0;
for (int j = 1; j < steps; j++)
{
double t = (j - 1) * dt;
double d1 = ((Math.Log(stockmatrix[i, j - 1] / k) + (r + (sigma * sigma) * 0.5) * (T - t))) / (sigma * Math.Sqrt(T - t));
if (index == 1)
{
delta = CDF(d1);
}
else
{
delta = CDF(d1) - 1;
}
cv1 += delta * (stockmatrix[i, j] - (stockmatrix[i, j - 1] * Math.Exp(r * T / (steps - 1))));
if (index_anti)
{
d2 = ((Math.Log(stockmatrix[i + trials, j - 1] / k) + (r + (sigma * sigma) * 0.5) * (T - t))) / (sigma * Math.Sqrt(T - t));
if (index == 1)
{
delta2 = CDF(d2);
}
else
{
delta2 = CDF(d2) - 1;
}
cv2 += delta2 * (stockmatrix[i + trials, j] - (stockmatrix[i + trials, j - 1] * Math.Exp(r * T / (steps - 1))));
}
}
if (index == 1)
{
if (index_anti)
{
double ave1 = 0;
double ave2 = 0;
for (int j = 0; j < stockmatrix.GetLength(1); j++)
{
ave1 = stockmatrix[i, j] + ave1;
ave2 = stockmatrix[i + trials, j] + ave2;
}
ave1 = ave1 / stockmatrix.GetLength(1);
ave2 = ave2 / stockmatrix.GetLength(1);
payoff[i, 0] = 0.5 * ((Math.Max(ave1 - k, 0) + num * cv1) + (Math.Max(ave2 - k, 0) + num * cv2));
}
else
{
double ave = 0;
for (int j = 0; j < stockmatrix.GetLength(1); j++)
{
ave = stockmatrix[i, j] + ave;
}
ave = ave / stockmatrix.GetLength(1);
payoff[i, 0] = Math.Max(ave - k, 0) + num * cv1;
}
}
else
{
if (index_anti)
{
double ave1 = 0;
double ave2 = 0;
for (int j = 0; j < stockmatrix.GetLength(1); j++)
{
ave1 = stockmatrix[i, j] + ave1;
ave2 = stockmatrix[i + trials, j] + ave2;
}
ave1 = ave1 / stockmatrix.GetLength(1);
ave2 = ave2 / stockmatrix.GetLength(1);
payoff[i, 0] = 0.5 * ((Math.Max(k - ave1, 0) + num * cv1) + (Math.Max(k - ave2, 0) + num * cv2));
}
else
{
double ave = 0;
for (int j = 0; j < stockmatrix.GetLength(1); j++)
{
ave = stockmatrix[i, j] + ave;
}
ave = ave / stockmatrix.GetLength(1);
payoff[i, 0] = Math.Max(k - ave, 0) + num * cv1;
}
}
sum_ct += payoff[i, 0];
sum_ct2 += Math.Pow(payoff[i, 0], 2);
}
double price = (sum_ct / Convert.ToDouble(trials)) * Math.Exp(-r * T);
double std = Math.Sqrt((sum_ct2 - sum_ct * sum_ct / Convert.ToDouble(trials)) * Math.Exp(-2 * r * T) / (Convert.ToDouble(trials - 1)));
se = std / Math.Sqrt(trials);
return(price);
}
public override double optionprice(out double se)
{
Simulation sim = new Simulation();
double[,] stockmatrix = sim.simulation(trials, steps, r, T, sigma, s, randsaved, index_anti, threadingindex);
double[,] payoff;
if (index_anti)
{
payoff = new double[trials * 2, 1];
}
else
{
payoff = new double[trials, 1];
}
if (index == 1)
{
for (int i = 0; i < stockmatrix.GetLength(0); i++)
{
double ave = 0;
for (int j = 0; j < stockmatrix.GetLength(1); j++)
{
ave = stockmatrix[i, j] + ave;
}
ave = ave / stockmatrix.GetLength(1);
payoff[i, 0] = Math.Max((ave - k), 0);
}
}
if (index != 1)
{
for (int i = 0; i < stockmatrix.GetLength(0); i++)
{
double ave = 0;
for (int j = 0; j < stockmatrix.GetLength(1); j++)
{
ave = stockmatrix[i, j] + ave;
}
ave = ave / stockmatrix.GetLength(1);
payoff[i, 0] = Math.Max((k - ave), 0);
}
}
double sum = 0;
double sum_se = 0;
for (int i = 0; i < trials; i++)
{
sum += payoff[i, 0];
}
double price = (sum / Convert.ToDouble(trials)) * Math.Exp(-r * T);
if (index_anti)
{
double[,] ave_p = new double[trials, 1];
for (int i = 0; i < trials; i++)
{
ave_p[i, 0] = (payoff[i, 0] + payoff[i + trials, 0]) * 0.5;
}
for (int i = 0; i < trials; i++)
{
sum_se += Math.Pow((ave_p[i, 0] * Math.Exp(-r * T)) - price, 2);
}
}
else
{
for (int i = 0; i < trials; i++)
{
sum_se += Math.Pow((payoff[i, 0] * Math.Exp(-r * T)) - price, 2);
}
}
double std = Math.Sqrt((1 / Convert.ToDouble((trials - 1))) * sum_se);
se = std / Math.Sqrt(trials);
return(price);
}
