Basket Call Option via C++

最新推荐文章于 2022-10-26 18:10:35 发布

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最新推荐文章于 2022-10-26 18:10:35 发布

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分类专栏： quantitative finance 文章标签： Derivatives c++

本文链接：https://blog.csdn.net/zhucai4/article/details/45457901

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Two stocks, with correlation rho, European type, payoff is Max(S1-S2, 0). First, Box-Muller algorithm,

#ifndef BM_GAUSSIAN_HPP_INCLUDED
#define BM_GAUSSIAN_HPP_INCLUDED

#include <cstdlib>
#include <cmath>
#include <vector>

double uniformRandom(){
  return (double)(rand()+1.0)/(double)(RAND_MAX+1.0);
}

void normalRandom(std::vector<double>& v){
  double u1=uniformRandom();
  double u2=uniformRandom();

  v[0] = cos(8.0*atan(1.0)*u2)*sqrt(-2.0*log(u1));
  v[1] = sin(8.0*atan(1.0)*u1)*sqrt(-2.0*log(u2));
}

#endif // BM_GAUSSIAN_HPP_INCLUDED

main function

#include <iostream>
#include <cstdlib>
#include <cmath>
#include <vector>
#include <./BM_Gaussian.hpp>
using namespace std;

int main(){
    // set option contract parameters;
    double T = 1.0;
    double r = 0.01;

    // stock parameters;
    double S_10 = 100;
    double sigma_1  = 0.1;
    double S_20 = 105;
    double sigma_2  = 0.05;
    double rho = -0.8;

    // monte carlo parameters
    int npaths = 100000;
    int nsteps = 100;

    double S1, S2, r1, r2;
    vector<double> rnorm(2);
    double sumpayoff = 0.0;
    double dt = double(T)/double(nsteps);

    for (int i=0; i<npaths; i++){
        S1 = S_10;
        S2 = S_20;
        for (int j=0; j<nsteps; j++){
            normalRandom(rnorm);
            r1 = rnorm[0];
            r2 = rnorm[0]*rho + rnorm[1]*sqrt(1-rho*rho);
            S1 *= exp((r-0.5*sigma_1*sigma_1)*dt + sigma_1*sqrt(dt)*r1);
            S2 *= exp((r-0.5*sigma_2*sigma_2)*dt + sigma_2*sqrt(dt)*r2);
        }
        sumpayoff += max(r1-r2, 0.0);
    }

    double callprice = double(sumpayoff)/double(npaths);
    cout << "Call Price: " << callprice << endl;

    return 0;
}

Correlation will affect the call price. To the extreme, if rho=1, stocks move together, the gap could be small, call price will be low. Negative rho generates high call price.