Implement AsianOptPriceMC function

MontecarloPricing/AsianOptPriceMC.m

@@ -0,0 +1,48 @@
+function [optionPrice, priceCI] = AsianOptPriceMC(spotPrice, strike, rate, TTM, ...
+    putFlag, priceModel, modelParams, nSims, nMonitoring, flagAV)
+%UNTITLED Summary of this function goes here
+%   Detailed explanation goes here
+
+% Add the directory containing the price models to the MATLAB path
+addpath(genpath(fullfile('..', 'PriceProcesses')));
+
+if nargin < 10
+    flagAV = false;
+end
+
+% Convert the putFlag into a numerical value that will be used in the payoff calculation
+if putFlag
+    putFlag = -1;  % For a put option, payoff involves max(K - S, 0)
+else
+    putFlag = 1;   % For a call option, payoff involves max(S - K, 0)
+end
+
+% Select and run the appropriate asset price model based on the input
+switch priceModel
+    case 'Merton'
+        % Simulate asset prices at maturity using the Merton jump-diffusion model
+        [X_t, X_t_AV] = MertonProcess(modelParams.sigmaD, modelParams.lambda, ...
+            modelParams.muJ, modelParams.sigmaJ, TTM, nMonitoring, nSims, flagAV);
+    case 'Kou'
+        % Simulate asset prices at maturity using the Kou jump-diffusion model
+        [X_t, X_t_AV] = KouProcess(modelParams.sigmaD, modelParams.lambda, ...
+            modelParams.lambdaP, modelParams.lambdaN, ...
+            modelParams.p, TTM, nMonitoring, nSims, flagAV);
+end
+
+% Extract the simulated asset prices at maturity
+discountedPayoff = exp(-rate*TTM) * max(0, mean(putFlag * (spotPrice * exp(X_t) - strike), 2));
+
+
+if flagAV
+    % Compute the antithetic payoffs
+    discountedPayoff_AV = exp(-rate*TTM) * max(0, mean(putFlag * (spotPrice * exp(X_t_AV) - strike), 2));
+
+    % Calculate the option price and confidence interval using both original and antithetic payoffs
+    [optionPrice, ~, priceCI] = normfit((discountedPayoff + discountedPayoff_AV) / 2);
+else
+    % Calculate the option price and confidence interval using only the original payoffs
+    [optionPrice, ~, priceCI] = normfit(discountedPayoff);
+end
+end
+