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Ncross ncross 1 - PowerPoint PPT Presentation

HW12

HW12. 100071021. Barrier Option (Conditioning). function [ c, p ] = BO_CD ( S0,K,r,T,sigma,Sb,ud,io,NRepl,NStep ) [ cw , pw] = blsprice (S0,K,r,T,sigma); dt = T / NStep ; Ncross = 0; C_Payoffs = zeros (NRepl,1); P_Payoffs = zeros (NRepl,1); Times = zeros (NRepl,1);

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HW12