利用蒙特卡洛模拟对结构化产品-鲨鱼鳍期权进行定价

本文主要Matlab代码：
产品通过蒙特卡洛模拟进行定价： 
SFProduct = 50000;
part_rate = 1.25;   
S0 = 6525.80;      指数价格
barrier_r=1.08;    利率
barrier_price = S0*barrier_r; 
Br=0.06;
mu = 0.0252; 
sigma = 0.246; 
T = 1;
NSteps = 120; 
NRepl = 100000;
paths=AssetPaths(S0,mu,sigma,T,NSteps,NRepl);
a = length(paths);
out_flag=zeros(NRepl,1);
out_c=0;
Price=0;
PriceNR = zeros(NRepl,1);
for i =1:NRepl
    if any(paths(i,:)>barrier_price)
        out_flag(i)=1;
        out_c=out_c+1;
        Price = Price + S0*Br;
        PriceNR(i)=S0*Br;
    else
        PriceNR(i)=max(0,paths(i,NSteps+1)-S0)*part_rate;
        Price = Price+max(0,paths(i,NSteps+1)-S0)*part_rate;
    end
end