callprice.jl

module CallPrice
    function callprice(S0, K, r, T, sigma, paths)
        Csum = 0.0
        for j = 1:paths	
            Zs = randn()
            Zj = T*(r-sigma.^2/2) + Zs*T.^0.5*sigma
            STj = exp(Zj)*S0
            Csum += exp(-r*T)*max(STj - K,0.0)
        end
        return Csum/paths
    end

    function timecallprice(n)
        price = @parallel (+) for i = 1:n
            callprice(100.0,100.0,0.1,1.0,0.1,1000000)
        end
        println("Call price: ", price/n)
    end
end