static void Main(string[] args)
{
//input needed information from keyboard
Console.WriteLine("Input spot price of underlying asset:");
double spotPrice = Convert.ToDouble(Console.ReadLine());
Console.WriteLine("Input option strike price:");
double strikePrice = Convert.ToDouble(Console.ReadLine());
Console.WriteLine("Input time to maturity of this option:");
double timeToMaturity = Convert.ToDouble(Console.ReadLine());
Console.WriteLine("Input drift parameter for brownian motion:");
double Mu = Convert.ToDouble(Console.ReadLine());
Console.WriteLine("Input volatility parameter for brownian motion:");
double sigma = Convert.ToDouble(Console.ReadLine());
Console.WriteLine("Input number of scenarios generated by MC simulation:");
int numOfScenarios = Convert.ToInt32(Console.ReadLine());
Console.WriteLine("Input number of time steps for Euler discretization:");
int timeSteps = Convert.ToInt32(Console.ReadLine());
Console.WriteLine("Input whether to use antithetic variance reduction technique " +
"(true for yes,false for no): ");
bool antithetic = Convert.ToBoolean(Console.ReadLine());
EuropeanCallOption Option = new EuropeanCallOption(timeToMaturity, strikePrice);
EulerSchemeForBSModel Euler = new EulerSchemeForBSModel();
StochasticAssetPrice Asset = new StochasticAssetPrice(Mu, sigma, spotPrice);
if (antithetic)
{
double[] s1 = Option.PricingByMCSim(Asset, Euler, numOfScenarios, timeSteps,
true);
Console.WriteLine("Option price estimated by Monte Carlo Simulation and " +
"antithetic variance reduction is:\n {0:#0.00} \n Standard error is:\n {1:#0.000} ",
s1[0], s1[1]);
}
else
{
double[] s2 = Option.PricingByMCSim(Asset, Euler, numOfScenarios, timeSteps, false);
Console.WriteLine("Option price estimated by Monte Carlo Simulation is:\n {0:#0.00} \n" +
"Standard error is:\n {1:#0.000} ", s2[0], s2[1]);
}
Console.ReadLine();
}
static void Main(string[] args)
{
//input needed information from keyboard
Console.WriteLine("Input spot price of underlying asset:");
double spotPrice = Convert.ToDouble(Console.ReadLine());
Console.WriteLine("Input option strike price:");
double strikePrice = Convert.ToDouble(Console.ReadLine());
Console.WriteLine("Input time to maturity of this option:");
double timeToMaturity = Convert.ToDouble(Console.ReadLine());
Console.WriteLine("Input drift parameter for brownian motion:");
double Mu = Convert.ToDouble(Console.ReadLine());
Console.WriteLine("Input volatility parameter for brownian motion:");
double sigma = Convert.ToDouble(Console.ReadLine());
Console.WriteLine("Input number of scenarios generated by MC simulation:");
int numOfScenarios = Convert.ToInt32(Console.ReadLine());
Console.WriteLine("Input number of time steps for Euler discretization:");
int timeSteps = Convert.ToInt32(Console.ReadLine());
Console.WriteLine("Input whether to use antithetic variance reduction technique " +
"(true for yes,false for no): ");
bool antithetic = Convert.ToBoolean(Console.ReadLine());
EuropeanCallOption Option = new EuropeanCallOption(timeToMaturity, strikePrice);
EulerSchemeForBSModel Euler = new EulerSchemeForBSModel();
StochasticAssetPrice Asset = new StochasticAssetPrice(Mu, sigma, spotPrice);
if (antithetic)
{
double[] s1 = Option.PricingByMCSim(Asset, Euler, numOfScenarios, timeSteps,
true);
Console.WriteLine("Option price estimated by Monte Carlo Simulation and " +
"antithetic variance reduction is:\n {0:#0.00} \n Standard error is:\n {1:#0.000} ",
s1[0], s1[1]);
}
else
{
double[] s2 = Option.PricingByMCSim(Asset, Euler, numOfScenarios, timeSteps, false);
Console.WriteLine("Option price estimated by Monte Carlo Simulation is:\n {0:#0.00} \n" +
"Standard error is:\n {1:#0.000} ", s2[0], s2[1]);
}
Console.ReadLine();
}
