金融商品設計與評價

HW11
計財系碩一 108071603 黃偉德
1. Lookbackcallmc
function
[Price,CI]=lookbackcallmc(S0,r,T,sigma,NSamples,NRepl
1 )
Payoff=ones(1,NRepl1);
for i=1:NRepl1
Path=AssetPaths1(S0,r,sigma,T,NSamples,1);
Payoff(i)=max(0,Path(NSamples+1)-min(Path(2:
(NSamples+1))));
end
[Price,VarPrice,CI]=normfit(exp(-r*T).*Payoff);
2. Lookbackputmc
function
[Price,CI]=lookbackputmc(S0,r,T,sigma,NSamples,NRepl1
)
Payoff=ones(1,NRepl1);
for i=1:NRepl1
Path=AssetPaths1(S0,r,sigma,T,NSamples,1);
Payoff(i)=max(0,max(Path(2:(NSamples+1)))-
Path(NSamples+1));
end
[Price,VarPrice,CI]=normfit(exp(-r*T).*Payoff);
3. Lookbackcallcv
function [Price,CI]=lookbackcallcv(S0,r,T,sigma,NSteps,NRepl,NPilot)
% Generate asset paths
Payoff=zeros(NPilot,1);
StockVals=zeros(NPilot,1);
for i=1:NPilot
Path=AssetPaths1(S0,r,sigma,T,NSteps,1);
StockVals(i,1)=Path(1,end);
Payoff(i,1)=max(0,Path(1,NSteps+1)-min(Path(1,2:(NSteps+1))));
end
OptionVals=exp(-r*T).*Payoff;
MatCov=cov(StockVals,OptionVals);
VarY=S0^2*exp(2*r*T)*(exp(T*sigma^2)-1);
c=-MatCov(1,2)/VarY;
ExpY=S0*exp(r*T);
for i=1:NRepl
Path1=AssetPaths1(S0,r,sigma,T,NSteps,1);
NewStockVals(i,1)=Path1(1,end);
Payoff1(i,1)=max(0,Path1(1,NSteps+1)-min(Path1(1,2:(NSteps+1))));
end
NewOptionVals=exp(-r*T).*Payoff1;
ControlVars=NewOptionVals+c*(NewStockVals-ExpY);
[Price,VarPrice,CI]=normfit(ControlVars);
4. Lookbackputcv
function [Price,CI]=lookbackputcv(S0,r,T,sigma,NSteps,NRepl,NPilot)
% Generate asset paths
Payoff=zeros(NPilot,1);
StockVals=zeros(NPilot,1);
for i=1:NPilot
Path=AssetPaths1(S0,r,sigma,T,NSteps,1);
StockVals(i,1)=Path(1,end);
Payoff(i,1)=max(0,max(Path(1,:))-Path(1,NSteps+1));
end
OptionVals=exp(-r*T).*Payoff;
MatCov=cov(StockVals,OptionVals);
VarY=S0^2*exp(2*r*T)*(exp(T*sigma^2)-1);
c=-MatCov(1,2)/VarY;
ExpY=S0*exp(r*T);
for i=1:NRepl
Path1=AssetPaths1(S0,r,sigma,T,NSteps,1);
NewStockVals(i,1)=Path1(1,end);
Payoff1(i,1)=max(0,max(Path1(1,:))-Path1(1,NSteps+1));
end
NewOptionVals=exp(-r*T).*Payoff1;
ControlVars=NewOptionVals+c*(NewStockVals-ExpY);
[Price,VarPrice,CI]=normfit(ControlVars);

5. Lookbackcallhalton
function
[Price,CI]=lookbackcallhalton(S0,r,T,sigma,NSamples,N
Repl)
Payoff=zeros(1,NRepl);
Path=HaltonPaths(S0,r,sigma,T,NSamples,NRepl);
for i=1:NRepl
Payoff(i)=max(0,Path(i,NSamples+1)-
min(Path(i,:)));
end
[Price,VarPrice,CI]=normfit(exp(-r*T)*Payoff);
6. Lookbackputhalton
function
[Price,CI]=lookbackputhalton(S0,r,T,sigma,NSamples,NR
epl)
Payoff=zeros(1,NRepl);
Path=HaltonPaths(S0,r,sigma,T,NSamples,NRepl);
for i=1:NRepl
Payoff(i)=max(0,max(Path(i,:))-
Path(i,NSamples+1));
end
[Price,VarPrice,CI]=normfit(exp(-r*T)*Payoff);