Java与金融工程：期权定价模型的蒙特卡洛模拟

    import java.util.Random;
    import java.util.stream.IntStream;
    
    public class MonteCarloOptionPricing {
    public static double simulateOptionPrice(double s0, double k, double r, double sigma, 
                                            int numberOfPaths, int numberOfSteps) {
        Random random = new Random();
        double price = 0.0;
    
        // 模拟每一条路径
        for (int i = 0; i < numberOfPaths; i++) {
            double stockPrice = s0;
            // 模拟每一步的价格变动
            for (int j = 0; j < numberOfSteps; j++) {
                double change = random.nextGaussian() * sigma * Math.sqrt(1.0 / numberOfSteps);
                stockPrice *= (1 + change);
            }
            // 欧式看涨期权的终值
            price += Math.max(stockPrice - k, 0);
        }
    
        // 计算期权的平均价格
        return price / numberOfPaths * Math.exp(-r);
    }
    
    public static void main(String[] args) {
        double initialStockPrice = 100; // 初始股票价格
        double strikePrice = 100;       // 行权价格
        double riskFreeRate = 0.05;     // 无风险利率
        double volatility = 0.2;        // 波动率
        int numberOfPaths = 10000;      // 路径数量
        int numberOfSteps = 252;        // 步数（一年交易日）
    
        double optionPrice = simulateOptionPrice(initialStockPrice, strikePrice, 
                                                  riskFreeRate, volatility, 
                                                  numberOfPaths, numberOfSteps);
    
        System.out.println("估计的期权价格: " + optionPrice);
    }
    }