public double Price(CallPayoff payoff, BSSimulator simulator, double nbPaths)
{
double sum = 0.0;
double rate = marketData.GetRate();
double exp = Math.Exp(-rate * payoff.Maturity);
for (int i = 0; i < nbPaths; i++)
{
sum += payoff.Evaluate(simulator);
}
return(exp * (sum / nbPaths));
}
public double Evaluate(BSSimulator simulator)
{
double ST = simulator.Simulate(stockName, maturity);
return(Math.Max(ST - strike, 0));
}