Question:

I have to do a report with Software R about pricing option as assignement for my course" numerical and statistichal method for finance".

I have to chose a type of option and make an analysis of market, my data ecc.

I have some example that i can give you for make you an idea and i send you with this mail.The report must has 20/30 pages not more and it have to contein plot, Rcode, ecc. It is important utilize packages as like Yuima and the important topic for me are llag, Montecarlo Method, B&S, cluster Analysis.

Aniway, in my courseI studied this argument:

Principles of Ito calculus and stochastic differential equations.

Introduction to the Black&Scholes model of option pricing.

Random number generation and variance reduction techniques.

Explorative data analysis for time series and lead-lag estimation.

Calibration and estimation of financial models from financial data via quasi-maximum likelihood estimation and the LASSO method.

Volatility estimation and monitoring.

Monte Carlo methods with applications to (european and asian) option pricing.

Lévy process: statistical fitting, simulation and option pricing.

The report has not to conteint:opzioni americane, le greeks, FFT pricing because i have not study yet.

- essay08
-sample analysys ( is a work where a guy take a good score in my course)

-guideline ( is a one page write to my hand if it can help you to understand that i want)

Can you help me to understand how you will work?

Can you send me a price for deadline 6/04 and a price for deadline 15/08?

Attachment:- assignement.pdf