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MathGroup Archive 2004

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Compile

  • To: mathgroup at smc.vnet.net
  • Subject: [mg48302] Compile
  • From: "John" <john34 at sepei.com>
  • Date: Sat, 22 May 2004 03:04:35 -0400 (EDT)
  • Sender: owner-wri-mathgroup at wolfram.com

Hi,

i am new to mathematica, i have written a monte carlo simulation for an
option, I wanted to compile the function, but i just get errors concerning
the Random[NormalDistribution[0,1]] function, could anybody help, thats the
code:

MCCall=Compile[{{S, K, T, r, div, sig},{M, _Integer},{ N, _Integer}}],
Module[{dt, nudt, sigsdt, lns, sumct, i, j, lnst, st, ct},
dt = T/N;
nudt = (r - div - 0.5*sig^2)*dt;
sigsdt = sig*Sqrt[dt];
lns = Log[S];
sumct = 0;
i = 1;
j = 1;
a = {};
For[i = 1, i < M,
lnst = lns;
For[j = 1, j < N,
lnst = lnst + nudt + sigsdt*Random[NormalDistribution[0, 1]]; j++];
st = Exp[lnst];
ct = Max[0, (st - K)];
sumct = sumct + ct;
a = Append[a, sumct/(i*Exp[-r*T])]; i++];
sumct/(M*Exp[-r*T])]];

TIA John



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