static void Main(string[] args)
{
//input needed information from keyboard
Console.WriteLine("Input spot price of underlying asset:");
double spotPrice = Convert.ToDouble(Console.ReadLine());
int oType;
do
{
Console.WriteLine("Input European option type (0 for call, 1 for put):");
oType = Convert.ToInt32(Console.ReadLine());
}while (oType != 0 & oType != 1);
OptionType optionType = (oType == 0 ? OptionType.Call : OptionType.Put);
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());
EuropeanOption Option = new EuropeanOption(timeToMaturity, strikePrice, optionType);
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());
int oType;
do
{
Console.WriteLine("Input European option type (0 for call, 1 for put):");
oType = Convert.ToInt32(Console.ReadLine());
}
while (oType != 0 & oType != 1);
OptionType optionType = (oType == 0 ? OptionType.Call : OptionType.Put);
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());
Console.WriteLine("Input whether to visualize price path (true for yes,false for no): ");
bool visualizationFlag = Convert.ToBoolean(Console.ReadLine());
EuropeanOption Option = new EuropeanOption(timeToMaturity, strikePrice, optionType);
EulerSchemeForBSModel Euler = new EulerSchemeForBSModel();
StochasticAssetPrice Asset = new StochasticAssetPrice(Mu, sigma, spotPrice);
if (antithetic)
{
Form1 s1form = new Form1("MC Simulation with Antithetic Variance Reduction");
double[] s1 = Option.PricingByMCSim(Asset, Euler, numOfScenarios, timeSteps,
true, visualizationFlag, s1form);
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]);
if (visualizationFlag)
{
// display the graph
Application.Run(s1form.Display());
}
}
else
{
Form1 s2form = new Form1("MC Simulation without Antithetic Variance Reduction");
double[] s2 = Option.PricingByMCSim(Asset, Euler, numOfScenarios, timeSteps, false,
visualizationFlag, s2form);
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]);
if (visualizationFlag)
{
// display the graph
Application.Run(s2form.Display());
}
}
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());
while (spotPrice < 0)
{
Console.WriteLine("price must be positive, re-enter valide price:");
spotPrice = Convert.ToDouble(Console.ReadLine());
}
int oType;
do
{
Console.WriteLine("Input European option type (0 for call, 1 for put):");
oType = Convert.ToInt32(Console.ReadLine());
}
while (oType != 0 & oType != 1);
OptionType optionType = (oType == 0 ? OptionType.Call : OptionType.Put);
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());
while (timeToMaturity < 0)
{
Console.WriteLine("time to maturity must be non-negative, re-enter valide value:");
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());
while (sigma < 0)
{
Console.WriteLine("volatility parameter must be non-negative, re-enter valide value:");
sigma = Convert.ToDouble(Console.ReadLine());
}
Console.WriteLine("Input number of scenarios generated by MC simulation:");
int numOfScenarios = Convert.ToInt32(Console.ReadLine());
while (numOfScenarios < 1)
{
Console.WriteLine("this number must be positive, re-enter valide value:");
numOfScenarios = Convert.ToInt32(Console.ReadLine());
}
Console.WriteLine("Input number of time steps for discretization:");
int timeSteps = Convert.ToInt32(Console.ReadLine());
while (timeSteps < 1)
{
Console.WriteLine("this number must be positive, re-enter valide value:");
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());
Console.WriteLine("Input whether to visualize price path (true for yes,false for no): ");
bool visualizationFlag = Convert.ToBoolean(Console.ReadLine());
int discretizationScheme;
do
{
Console.WriteLine("Input discretization scheme (0 for Euler, 1 for Milstein, 2 for log price scheme):");
discretizationScheme = Convert.ToInt32(Console.ReadLine());
}
while (discretizationScheme < 0 | discretizationScheme > 2);
EuropeanOption Option = new EuropeanOption(timeToMaturity, strikePrice, optionType);
IDiscretizationScheme scheme;
if (discretizationScheme == 0)
{ scheme = (IDiscretizationScheme)(new EulerSchemeForBSModel()); }
else if (discretizationScheme == 1)
{ scheme = (IDiscretizationScheme)(new MilsteinSchemeForBSModel()); }
else
{ scheme = (IDiscretizationScheme)(new LogPriceSchemeForBSModel()); }
StochasticAssetPrice Asset = new StochasticAssetPrice(Mu, sigma, spotPrice);
Form1 s1form = new Form1("MC Simulation");
double[] s1 = Option.PricingByMCSim(Asset, scheme, numOfScenarios, timeSteps,
antithetic, visualizationFlag, s1form);
if (antithetic)
{
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
{
Console.WriteLine("Option price estimated by Monte Carlo Simulation is:\n {0:#0.00} \n" +
"Standard error is:\n {1:#0.000} ", s1[0], s1[1]);
}
if (visualizationFlag)
{
// display the graph
Application.Run(s1form.Display());
}
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());
while (spotPrice < 0)
{
Console.WriteLine("price must be positive, re-enter valide price:");
spotPrice = Convert.ToDouble(Console.ReadLine());
}
int oType;
do
{
Console.WriteLine("Input European option type (0 for call, 1 for put):");
oType = Convert.ToInt32(Console.ReadLine());
}while (oType != 0 & oType != 1);
OptionType optionType = (oType == 0 ? OptionType.Call : OptionType.Put);
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());
while (timeToMaturity < 0)
{
Console.WriteLine("time to maturity must be non-negative, re-enter valide value:");
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());
while (sigma < 0)
{
Console.WriteLine("volatility parameter must be non-negative, re-enter valide value:");
sigma = Convert.ToDouble(Console.ReadLine());
}
Console.WriteLine("Input number of scenarios generated by MC simulation:");
int numOfScenarios = Convert.ToInt32(Console.ReadLine());
while (numOfScenarios < 1)
{
Console.WriteLine("this number must be positive, re-enter valide value:");
numOfScenarios = Convert.ToInt32(Console.ReadLine());
}
Console.WriteLine("Input number of time steps for discretization:");
int timeSteps = Convert.ToInt32(Console.ReadLine());
while (timeSteps < 1)
{
Console.WriteLine("this number must be positive, re-enter valide value:");
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());
Console.WriteLine("Input whether to visualize price path (true for yes,false for no): ");
bool visualizationFlag = Convert.ToBoolean(Console.ReadLine());
int discretizationScheme;
do
{
Console.WriteLine("Input discretization scheme (0 for Euler, 1 for Milstein, 2 for log price scheme):");
discretizationScheme = Convert.ToInt32(Console.ReadLine());
}while (discretizationScheme < 0 | discretizationScheme > 2);
EuropeanOption Option = new EuropeanOption(timeToMaturity, strikePrice, optionType);
IDiscretizationScheme scheme;
if (discretizationScheme == 0)
{
scheme = (IDiscretizationScheme)(new EulerSchemeForBSModel());
}
else if (discretizationScheme == 1)
{
scheme = (IDiscretizationScheme)(new MilsteinSchemeForBSModel());
}
else
{
scheme = (IDiscretizationScheme)(new LogPriceSchemeForBSModel());
}
StochasticAssetPrice Asset = new StochasticAssetPrice(Mu, sigma, spotPrice);
Form1 s1form = new Form1("MC Simulation");
double[] s1 = Option.PricingByMCSim(Asset, scheme, numOfScenarios, timeSteps,
antithetic, visualizationFlag, s1form);
if (antithetic)
{
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
{
Console.WriteLine("Option price estimated by Monte Carlo Simulation is:\n {0:#0.00} \n" +
"Standard error is:\n {1:#0.000} ", s1[0], s1[1]);
}
if (visualizationFlag)
{
// display the graph
Application.Run(s1form.Display());
}
Console.ReadLine();
}
