Friday, February 8, 2013

One liner Asian option pricer

function [C] = BLM(n, S_0, K, u, d, p, T)
    C = mean(max([mean(cumprod((u-d) .*(rand(n, T) < p) + d,2), 2) * S_0 - K, zeros(n,1)]));
end

Fully vectorized for performance.

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