Option pricing code: a problem on dimension

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Zeynep Toprak 2020-5-13

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https://ww2.mathworks.cn/matlabcentral/answers/525252-option-pricing-code-a-problem-on-dimension

编辑： Zeynep Toprak 2020-5-13

I would like to generate a code to calculate option pricing by using stock prices which follows geometric brownian motion process.

My code is as follows:

%define given values 
t = 1;
n = 100;
s0=100; 
mu = 0.1;
sigma = 0.05;
dt = t/n;
%calculate stock price which follows geometric brownian motion process
s=s0*exp((mu-1/2*sigma^2)*dt+sigma*randn(n,1)*sqrt(dt));
x = 125; %exercise price
r = 0.0446; %interest rate
T = 0.0575; %maturity time
%calculate call option value by BSM model.
d1 = (log(s./x) - [r+ ((sigma^2)/2)]* T)/(sigma * sqrt(T));
d2 = d1 - (sigma* sqrt(T));
Nd1 = normcdf(d1);
Nd2 = normcdf (d2);
%call value
C = s .* Nd1 - x * exp(-r * T) .* Nd2 ;
disp(C)