#[RSLN-2ɂ銔]

PVHE<-rep(0,5000)
for(j in 1:5000){
p12<-0.037
p21<-0.21
pi1<-p12/(p12+p21)
lnmu<-c(0.012,-0.016)
lnsigma<-c(0.035,0.078)
}
Y<-rep(0,120)
for(i in 1:120){
u<-runif(1)
z<-rnorm(1)
if(u<pi1){
rho<-1
} else{
rho<-2
}
  Y[i]<-lnmu[rho]+lnsigma[rho]*z
 }
plot(Y,type="l") #Y:v
 a<-matrix(rep(1,14400),120)
 a[lower.tri(a)]<-0
 Y<-Y%*%a
 S<-exp(Y)
 S<-c(1,S)
plot(S,type="l")@#S:̊

#P(t,n)߂D
 t<-c(1:121)
 n<-10
 K<-100
 sigma<-0.2
 r<-0.06
 
 d1<-(log(S[t]/K)+(n-(t-1)/12)*(r+sigma ^2/2))
 @@/sqrt(n-(t-1)/12)*sigma
 d2<-d1-sigma*sqrt(n-(t-1)/12)
 
 BSP<-function(x)     #BSɂvbgIvVi
 K*exp(-r*(T-(x-1)/12))*pnorm(-d2)-S[x]*pnorm(-d1)
 
 pB<-BSP(t)*tpx
 
#P(t,w)(t=0,...,n-1,w=t)
  s<-matrix(rep(0,14400),120)
 for(i in 1:120)
 {
 t<-i
 w<-seq(t/12,10,by=1/12)
 d1<-(log(S[t]/K)+(w-(t-1)/12)*(r+sigma ^2/2))
 @@/sqrt(w-(t-1)/12)*sigma
 d2<-d1-sigma*sqrt(w-(t-1)/12)
 
 BSP<-function(x)     #BSɂvbgIvVi
 K*exp(-r*(w-(x-1)/12))*pnorm(-d2)-S[x]*pnorm(-d1)
 
 s[,i]<-c(rep(0,i-1),BSP(t))
 }
 qB<-c(tqx[1:120]%*%s,0)
 
wbWE|[gtHIiFH
 H<-qB+pB
 
#t
 t<-c(1:121)
 d1<-(log(S[t]/K)+(n-(t-1)/12)*(r+sigma ^2/2))
 @@/sqrt(n-(t-1)/12)*sigma
 ph<--dnorm(-d1)
 
#:phi
 t<-c(1:121)
 phi<-ph*S[t]
  
#:Y
 Y<-H-phi
 
#pwbWE|[gtHI:Ht
 t<-c(1:120)
 Ht<-c(0,phi[t]*S[t+1]/S[t]+Y[t]*exp(r/12))
 
#wbW덷:HE
 HE<-c(0,H[t]-Ht[t+1])
 
#p:TC
 tau<-0.002
 t<-c(1:120)
 TC<-c(0,tau*S[t]*abs(phi[t+1]-phi[t]))
 
ga<-function(x)
 HE[x]*exp(-r*x)
 as<-sum(ga(c(2:121)))
 PVHE[j]<-as
 }