From 69d81d75339bc16725346b452ca6e0dc5da89554 Mon Sep 17 00:00:00 2001
From: Bertrand <bertrand.horel@gmail.com>
Date: Sun, 14 Feb 2016 17:59:49 +0000
Subject: début exemple sur options asiatiques
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---
 option.cpp | 61 +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
 1 file changed, 61 insertions(+)
 create mode 100644 option.cpp

(limited to 'option.cpp')

diff --git a/option.cpp b/option.cpp
new file mode 100644
index 0000000..5caf23f
--- /dev/null
+++ b/option.cpp
@@ -0,0 +1,61 @@
+#include <vector>
+#include <gsl/gsl_cdf.h>
+#include "var_alea.hpp"
+#include <algorithm>
+#include <iostream>
+
+double r;
+double T;
+double S0;
+double V;
+int d;
+
+std::vector<double> path_gen(std::vector<double> X){
+    d=X.size();
+    std::vector<double> S(d);
+    S[0]= S0;
+    for(int i=1;i<d;i++){
+        S[i]=S[i-1]*exp((r-V*V/2)*(T/d)+V*sqrt(T/d)*X[i]);
+    }
+    return S;
+}
+
+double mean_monte_carl(double r, double T, double S0, double V, int N, int d){
+    double moyenne=0;
+    gaussian G;
+    std::vector<double> S(d);
+    std::vector<double> X(d);
+    for(int i=1; i<N; i++){
+        for(int j=1;j<d;i++){
+            X[i]=G();
+        }
+        S=path_gen(X);
+        moyenne+=std::accumulate(S.begin(), S.end(), 0 );
+    }
+    return moyenne/N;
+}
+
+int main(){
+    init_alea(0);
+    double r=0.05;
+    double T=1.0;
+    double S0=50.0;
+    double V=0.1;
+    int d=16;
+    int N=1000000;
+    
+    
+    double moyenne = mean_monte_carl(r, T, S0, V, N, d);
+    std::cout<<moyenne<<std::endl;
+
+    
+    return 0;
+}
+        
+        
+        
+        
+    
+
+        
+    
-- 
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