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S=10; %number of simulations
T=10000; %number of periods
K=0.5; %exercise price
N=10000; %number of put options to sell each period
Price=K*normcdf(K)+ exp(-K^2/2)/sqrt(2*pi); % fair price of the option


for s=1:S

X=randn(T,1); %simulating standard normal random variables

Payoff(Payoff<0)=0; % put options payoff

Profits(:,s)=N*(Price.*ones(T,1)-Payoff); % time series of profits


histfit(Profits(:,1)) %Example of profits distribution
plot(cumsum(Profits)) %Evolutition of cumulative profits

The plot shows that it can take many periods before going bust.

jbstat. X=lambda*tan(pi. . m=mean(X).9282 Thus we reject the normal distribution at all levels of confidence.*(u-0.5)).p.4. histfit(m) [h. clear.critval] = jbtest(m) h= 1 p= 1. clc.0000e-03 jbstat = 2. %Simulating Cauchy variates using probability integral transform u=rand(1000). lambda=2.3811e+07 critval = 5.