public double computePayoff(double strike, double[] stockPath, PutCallOption putCallOption)
{
if (putCallOption == PutCallOption.CALL_OPTION)
{
return Math.Max(stockPath[stockPath.Length - 1] - strike, 0);
}
else
{
return Math.Max(strike - stockPath[stockPath.Length - 1], 0);
}
}
public static void MCPriceOption(double s0, double drift, double sigma, double maturity, double strike
, PutCallOption optionType, int numOfSteps
, StockPathGenerator stockpathGenerator, PayoffCalculator payoffCalculator
, RandomSequenceGenerator randomSequenceGenerator)
{
StatisticTracker tracker = new StatisticTracker();
while (tracker.needMoreSimulation())
{
tracker.putNewResult(payoffCalculator.computePayoff(strike
, stockpathGenerator.getPath(s0, drift, sigma, maturity, numOfSteps, randomSequenceGenerator)
, optionType));
}
Console.Write("option price is ");
Console.WriteLine(tracker.getMean());
Console.Write("option price standard deviation is ");
Console.WriteLine(tracker.getStdDev());
}
