Programming consider a european call option over an, Ask an Expert

Engineering

Programming) Consider a European call option over an underlying asset whose price at time 0 is 105 dollars, with strike price K = 110 dollars, exercise time 1 year, interest rate equal to 5% (i.e. rT = 0.05), and a volatility such that σ √ T = 0.3

1. Compute the price of the call using the Monte Carlo method applied to the formula

with 1000 simulations. Find (approximately) the variance of the random variable whose expectation you are trying to evaluate, and give a confidence interval for the desired quantity

2. Do the same computation (including the confidence interval) combining the same method applied to the formula for the price of the put,

with the same number of simulations, and the call-put parity formula.

View complete question

Computer Engineering, Engineering

Category:- Computer Engineering
Reference No.:- M92019860

Have any Question?Write your Review or question?

Related Questions in Computer Engineering

Question suppose 4 packets of a message each of l bits

Question : Suppose 4 packets of a message, each of L bits arrive at a switch (router) and traverse a link with rate R bps to the destination. Further, suppose that the link is free when the first packet arrives, and the ...

Question as we have seen traditional and agile schedule

Question : As we have seen, traditional and Agile schedule developments are quite different. Agile project management was originally developed to do software development. Could a traditional process be successfully used ...

Requirementswrite a java program that reads a set of

Requirements: Write a java program that reads a set of integer lattice points, prints out the ones on the boundry of the convex hull sorted left to right (ie by x-coordinate), and then accepts additional points and deter ...

Question suppose you want to achieve a speedup of 90 times

Question : Suppose you want to achieve a speedup of 90 times faster with 100 processors. What percentage of the original computation can be sequential? Assume one byte data value is 1101, 1000(binary). When we decode the ...

What is tf-idf weighting justify it using zipfs curve and

What is tf-idf weighting? Justify it using Zipf's curve and Luhn's proposal.

Question answer both question with minimum 150 words each

Question: Answer both question with minimum 150 words each. Provide examples and references. 1. Data Anomalies - Explain in your own words using tables from your lab project. Also describe how such anomalies could be pre ...

How do you apply the five components of the information

How do you apply the five components of the information systems to an information systems application like "online bill pay" system offered by many banks.

Taskthe first task is to create your business narrative

Task The first task is to create your business narrative. Some of the questions that you should address include (but are not limited to) the following. •What is the name of your business? •Who will be the users of the sy ...

Question as you are reviewing the results of your various

Question : As you are reviewing the results of your various scans, what factors do you believe you would take into consideration when determining priority? The priority would be used to determine remediation efforts. So, ...

Use the information on the market for bicycles to answer

Use the information on the market for bicycles to answer the following questions. Demand: P = -125*Q + 540; Supply: P = 150*Q + 210, where P is the price of bicycle and Q is the quantity demanded or supplied of bicycle. ...

4,153,160 Questions Asked
13,132 Experts
2,558,936 Questions Answered

Ask Experts for help!!

Looking for Assignment Help?

Start excelling in your Courses, Get help with Assignment

Write us your full requirement for evaluation and you will receive response within 20 minutes turnaround time.

Ask Now Help with Problems, Get a Best Answer

Recent Questions

Ask Computer Engineering Expert