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Control variate with Black and Scholes.
Hey guys, I wrote this piece of code in order to price a floating strike lookback call option: <code> % function [Call]=Looback (S,r, sigma,T, M,n) % MATLAB code for European Lookback Call: Monte-Carlo %%%%%%%%%% Option parameters %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% S = 100; %...- RandomWalk89
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- Forum: MathWorks, Inc.: MATLAB
