Here is the current script I have:
delta <- 1/52
T <- 0.5
S0 <- 25
sigma <- 0.30
K <- 25
r <- 0.05
n <- 1000000
m <- T/delta
S <- numeric(m + 1)
S[1] <- S0
#Payoff asian option
asian_option_price <- function() {
for(j in 1:m) {
W <- rnorm(1)
S[j + 1] <- S[j] * exp((r - 0.5 * sigma^2) * delta + sigma * sqrt(delta) * W)
}
Si.bar <- mean(S)
exp(-r * T) * max(Si.bar - K, 0)
}
#Loops
C <- raply(n, asian_option_price(), .progress = "text")
My issue is that I need to use "-W" for a second simulation right after this one is done. The way the script is made, "W" is inside my loop which makes it impossible (i think) to use the corresponding "-W" after that. I think I need to use an independent matrix filled with rnorm() mat(x) = matrix(rnorm(m*n,mean=0,sd=1), m, n)
so that I can simply use -mat(x) in my second simulation. I don't get how to take "W" out of my loop and still use it's corresponding matrix. Any help would be very useful. Thanks!