Anyone have code to do MonteCarlo simulations avaible as a link or file for Matlab or excel? Thank you in advance Thomas

Hi,function MCSpreadOption(CallPutFlag, S1, S2, X, T, r, b1, b2, v1, v2, rho , nSimulations)%% Monte Carlo Simulation Spread Options% Key words: finance, option valuation, Monte Carlo simulation%% % Application: Monte Carlo Simulation of Spread Option Values:%% The MCSpreadOption function can be used for valuation of spread options% Spread options are actively traded on New York Mercantile Exchange (NYMEX) % on the difference/spread between different oil qualities. Spread options% are also popular in many other markets.%% The code can easely be modified to also value other option contracts dependent on% two correlated assets. Assuming correlated geometric Brownian motions%% Variable Description:%% CallPutFlag= 'c' gives call option, 'p' gives put option% S1= Asset one% S2= Asset two% X= Strike price% T= time to option maturity in number of years% r= Risk-free-rate% b1= Cost of carry asset one% b2= Cost of carry asset two% v1= Volatility asset one% v2= Volatility asset two% rho= Correlation between assets (asset return)% nSimulations=Number of simulations used for Monte Carlo simulation% More simulations increase accurancy, typically minimum 10000%% At maturity the payoff from a call spread option is max(S1-S2-X,0)% At maturity the payoff from a put spread option is max(X-S1+S2,0)%%% For example :% % MCSpreadOption('c',122,120,3,0.5,0.1,0,0,0.25,0.2,0.5,10000)% % if CallPutFlag == 'c' z = 1; % Will return call option value else z = -1; % Will return put option value end Drift1 = (b1 - v1 ^ 2 / 2) * T; %Drift asset one Drift2 = (b2 - v2 ^ 2 / 2) * T; % Drift asset two v1Sqrdt = v1 * sqrt(T); v2Sqrdt = v2 * sqrt(T); sum=0; for i = 1: nSimulations, Epsilon1 = normrnd(0,1); % Random number from a standard normal distribution Epsilon2 = rho * Epsilon1 + normrnd(0,1) * sqrt(1 - rho ^ 2); % St1 = S1 * exp(Drift1 + v1Sqrdt * Epsilon1); St2 = S2 * exp(Drift2 + v2Sqrdt * Epsilon2); sum = sum + max(z * (St1 - St2 - X), 0); end exp(-r * T) * (sum / nSimulations)% Return Monte Carlo estimate of spread option