Here is a simple example of Monte Carlo method for integration(CDF of normal distribution).

735  %let c1=-1;
736  %let c2=2;
737  %let n=1000;
738  %let seed=561;
739
740  data _null_;
741     do i=1 to  &n;
742        x=&c1+(&c2-&c1)* ranuni(&seed);
743        p_mc+ ((&c2-&c1) / &n)*pdf('normal',x);
744    end;
745    p_normal=cdf('normal',&c2) - cdf('normal',&c1);
746    put p_mc=  p_normal=;
747  run;

p_mc=0.8100179496 p_normal=0.8185946141
NOTE: DATA statement used (Total process time):
      real time           0.01 seconds
      cpu time            0.01 seconds