Black Scholes function in a Covered Call Simulation

Hello

I am trying to simulate a covered call strategy, which is Asset-Call. Here is what I want to do:

%SIMULATION ASSET PRICE DYNAMICS
 clear 

all
 close 

all
 clc

   sigmaVECTOR=xlsread('ImplVola.xlsx');
   rVECTOR=xlsread('InterestratesUSTreasuryBill.xlsx');
   muVECTOR=xlsread('InterestratesUSTreasuryBill.xlsx');
   S0VECTOR=xlsread('SMIKurseDiv.xlsx');

   %based on the Brownian motion model
   %dS=muSdt+sigmaSdz,where dz is the standard Wiener process.
   %To simulate the path of the asset price over the interva(0,T), 
  %time has to be discretized with a time step dt:
   %S(t+dt)=S(t)exp(vdt+sigma(dtE)^0.5)

%***********framework definition***********
 %T=time horizont
 T=0.5;
 %Nsteps= Number of time steps
 NSteps=26;
 %Nrepl=number of replications
 NRepl=10;
 %dividend rate q=0 da keine Dividenden in dem halben Jahr ausgezahlt werden
 q=0;

   for

   BIG=1:1

   %***********Input factors***********
   %sigma= implied volatility, weekly datas by Bloomberg
  sigma=sigmaVECTOR(BIG)./100;
   %S0= equity price of the Swiss Market Index weekly datas by Bloomberg
   S0=S0VECTOR(BIG); 
  %mu=drift=r riskfree interest rate of a Treasury bill datas by Bloomberg
   r=rVECTOR(BIG);
   mu=muVECTOR(BIG);
   %Define the Stike price
   X=S0*exp((r+sigma^2/2)*T);

   %***********Simulation of the Asset Paths***********
   %AssetPaths
   SPaths=AssetPaths(S0,mu,sigma,T,NSteps,NRepl);

   %***********Bewertung Calloption***********
   %Call Preise für Anzahl Wochen
   for

   i=1:NSteps

%**********************************

% Call prices for the amout of simulations

for j=1:NRepl

%price=Callprice 
 [price(NRepl,i)]=blsprice(SPaths(j,i),T,r,sigma,q);

end

%**********************************

T=T-(1/26);
 end
 end

1. Monte Carlo Simulation of the underlying Asset: - for 26 Weeks (NSteps=26) - for 10 Replications (NRepl=10), well as soon as the code works I will change this number up to 2000 The Monte Carlo function for the Asset prices looks as followed:

   %define function

function SPaths=AssetPaths(S0,mu,sigma,T,NSteps,NRepl)

%define time steps

dt=T/NSteps; 

% define and simulate the paths

nudt=(mu-0.5*sigma^2)*dt;

sidt=sigma*sqrt(dt);

Increments=nudt+sidt*randn(NRepl,NSteps);

LogPaths=cumsum([log(S0)*ones(NRepl,1),Increments],2);

SPaths=exp(LogPaths);

end

This code gives me a 10x27 matrix. I saved this code as AssetPaths.m. In the next step I want for each value of the Matrix a call price which means I need the Black Scholes formula to price it.

function price=blsprice(SPaths,T,r,sigma,X)

%where q is the dividend rate q=0

q=0;

S0=6;

X=S0*exp((r+sigma^2/2)*T);

d1=(log(SPaths/X)+(r+0.5*sigma^2)*T)/(sigma*sqrt(T));

d2=d1-(sigma*sqrt(T));

n1=0.5*(1+erf(d1/sqrt(2)));

n2=0.5*(1+erf(d2/sqrt(2)));

price=SPaths*n1-X*(exp(-r*T)*n2);

end

However there is an error in the Black scholes as it always occurs an error message. Can anyone help me? I am really desperate. Thank you

[Walter Roberson]

It helps to post the error message.