darou

  theta t

  S = 1
  loop inf
    theta @dt
    S = S * exp( (r - 0.5 * sigma^2) * @dt
  end

   1: model EuropeanPut
   2: % This model returns a simulated European put option price
   3: import S “Stock prices”
   4: import CUR “Discount factor”
   5: import K “Strike price for the European put option”
   6: import T “Time to maturity in years”
   7: export P “European put option price”
   8:
   9: P = E(V_CUR!)
  10: % T years pass
  11: theta T
  12: % at maturity T, the option payoff is discounted to time 0
  13: V_CUR = max(K - S, 0) * CUR
  14:
  15: end