% This is material illustrating the methods from the book
% Financial Modelling  - Theory, Implementation and Practice with Matlab
% source
% Wiley Finance Series
% ISBN 978-0-470-74489-5
%
% Date: 02.05.2012
%
% Authors:  Joerg Kienitz
%           Daniel Wetterau
%
% Please send comments, suggestions, bugs, code etc. to
% kienitzwetterau_FinModelling@gmx.de
%
% (C) Joerg Kienitz, Daniel Wetterau
% 
% Since this piece of code is distributed via the mathworks file-exchange
% it is covered by the BSD license 
%
% This code is being provided solely for information and general 
% illustrative purposes. The authors will not be responsible for the 
% consequences of reliance upon using the code or for numbers produced 
% from using the code. 



function price = Price_KnockIn(S,K,U,C,r,T)

minS = min(S(:,2:end),[],2);
Ind = find(minS<U);
payoff = zeros(size(S,1),1);

if C == 1
    %payoff(Ind) = rebate ;
    payoff(Ind) = max(S(Ind,end) - K,0);
else
    %payoff(Ind) = rebate;
    payoff(Ind) = max(K-S(Ind,end) ,0);
end
    price = mean(payoff) * exp(-r*T); 
end

Sable
github-repos/MATLAB/Sable-mcbench-benchmarks/mcbench-benchmarks-ba13b2f0296ef49491b95e3f984c7c41fccdb6d8/37618-monte-carlo-simulation-and-derivatives-pricing/StandardMonteCarlo/Price_KnockIn.m
mcbench-benchmarks
github-repos/MATLAB/Sable-mcbench-benchmarks
ba13b2f0296ef49491b95e3f984c7c41fccdb6d8