model product

import S "Stock price"

import EUR "Discount factor"

import K "Strike price"

import T "Maturity time"

export V "Option price"

model process

% Process parameters

import r "Interest rate"

import sigma "Volatility"

import S0 "Initial stock price"

export S "Stock price"

export EUR "Discount factor"

export Divs "Dividends account"

% Initialize stock price and numeraire (discount factor)

S=S0; EUR=1; Divs = 0

fork

loop inf

theta @dt

dW = sqrt(@dt) * randn()

S = S * exp( (mu-0.5*sigma^2)*@dt + sigma*dW + dq)

EUR=EUR*exp(-r*@dt)

Divs=Divs*exp(r*@dt)

end

end