function v=callopt2(u,S0,ex,r,sigma,T) % value of the integrand for a call option with exercise price ex, r=annual interest % rate, sigma=annual vol, S0=current stock price. u=uniform (0,1) input to %generate normal variate by inverse transform. T=term %For Black-Scholes, integrate (0,1). v=[]; x=S0*exp(norminv(u,r*T-sigma^2*T/2,sigma*sqrt(T))); %v=exp(-r*T)*max((x-ex),0); % line above is modified May 13, 2005 so that we can put in a vector of exercise prices % and so it computes the average.--take out the averaging so stratified % works!!!!! add line below in place of next three lines. v=exp(-r*T)*max((x-ex),0); %for i=1:length(ex) % v=[v mean(exp(-r*T)*max((x-ex(i)),0))]; %end