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change sd to s in chapter 14

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Bogumił Kamiński 2022-03-13 07:25:29 +01:00
parent 133e60e548
commit 34e80b2cba
1 changed files with 5 additions and 5 deletions
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10
ch14_server.jl
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@ -2,22 +2,22 @@ using Genie
using Statistics using Statistics
using ThreadsX using ThreadsX
function v_asian_sample(T, X0, K, r, sd, m)::Float64 function v_asian_sample(T, X0, K, r, s, m)::Float64
X = X0 X = X0
sumX = X sumX = X
d = T / m d = T / m
for i in 1:m for i in 1:m
X *= exp((r-sd^2/2)*d + sd*sqrt(d)*randn()) X *= exp((r-s^2/2)*d + s*sqrt(d)*randn())
sumX += X sumX += X
end end
return exp(-r*T) * max(sumX / (m + 1) - K, 0) return exp(-r*T) * max(sumX / (m + 1) - K, 0)
end end
function v_asian_value(T, X0, K, r, sd, m, max_time) function v_asian_value(T, X0, K, r, s, m, max_time)
result = Float64[] result = Float64[]
start_time = time() start_time = time()
while time() - start_time < max_time while time() - start_time < max_time
append!(result, ThreadsX.map(_ -> v_asian_sample(T, X0, K, r, sd, m), 1:10_000)) append!(result, ThreadsX.map(_ -> v_asian_sample(T, X0, K, r, s, m), 1:10_000))
end end
n = length(result) n = length(result)
mv = mean(result) mv = mean(result)
@ -25,7 +25,7 @@ function v_asian_value(T, X0, K, r, sd, m, max_time)
lo95 = mv - 1.96 * sdv / sqrt(n) lo95 = mv - 1.96 * sdv / sqrt(n)
hi95 = mv + 1.96 * sdv / sqrt(n) hi95 = mv + 1.96 * sdv / sqrt(n)
zero = mean(==(0), result) zero = mean(==(0), result)
return (; n, mv, sdv, lo95, hi95, zero) return (; n, mv, lo95, hi95, zero)
end end
Genie.config.run_as_server = true Genie.config.run_as_server = true