public static double SimpleMonteCarlo2(PayOff payoff,
double expiry,
double spot,
double vol,
double r,
ulong number_of_paths)
{
double variance = vol * vol * expiry;
double root_variance = Math.Sqrt(variance);
double moved_spot = spot * Math.Exp(r * 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 += payoff.Do(this_spot);
}
return Math.Exp(-r * expiry) * (running_sum / number_of_paths);
}
