minor changes

pm-based · Jul 28, 2024 · e5b8f8d · e5b8f8d
1 parent 712790e
commit e5b8f8d
Showing 1 changed file with 9 additions and 6 deletions.
diff --git a/MontecarloPricing/Example_UEOptPriceMC.m b/MontecarloPricing/Example_UEOptPriceMC.m
@@ -3,12 +3,16 @@
 
 %% UE vanilla option pricing
 % simulation params
-nSims = 1e5;
+nSims = 1e6;
 
-% option params
+% Market params
 spotPrice = 98;
-strike = 100;
 rate = 0.0001;
+
+% !!!!! IN QUELLO DEL PROF C'è ANCHE M (MA SERVE???)
+
+% option params
+strike = 100;
 TTM = 1;
 putFlag = false;
 
@@ -21,7 +25,7 @@
 
 disp('MC price Eu option, Merton model')
 [price, CIprice] = UEOptPriceMC(spotPrice, strike, rate, TTM, putFlag, priceModel, mertonParams, nSims)
-width_CI_MC = diff(CIprice)
+width_CI_Standard = diff(CIprice)
 
 disp('MC price Eu option, Merton model using Antitetich Variable')
 [price, CIprice] = UEOptPriceMC(spotPrice, strike, rate, TTM, putFlag, priceModel, mertonParams, nSims, 'AV')
@@ -42,8 +46,7 @@
 
 disp('MC price Eu option, Kou model')
 [price,CIprice] = UEOptPriceMC(spotPrice, strike, rate, TTM, putFlag, priceModel, kouParams, nSims)
-width_CI_MC = diff(CIprice)
-
+width_CI_Standard = diff(CIprice)
 
 disp('MC price Eu option, Kou model using Antitetich Variable')
 [price,CIprice] = UEOptPriceMC(spotPrice, strike, rate, TTM, putFlag, priceModel, kouParams, nSims, 'AV')