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()); }