Write a program to calculate correlated basket options. Extend the results of Table 4.3 to T =
Question:
Write a program to calculate correlated basket options. Extend the results of Table 4.3 to T = 90 days.
Table 4.3
Transcribed Image Text:
Call, S = 53 = $8 = 100, K 01 02 03 P12 P13 0.2 0.2 0.2 1 0 0.2 0.2 0.2 -1 0 0.2 0.2 0.2 0.7 0.3 1 1 0.2 0.3 0.4 0.2 0.3 0.4 000 P23 0 0 -0.1 1 = 100, rf = 3%, T = W1 W2 W3 Basket 0.5 0.5 0.0 3.48 0.5 0.5 0.0 0.49 0.33 0.33 0.33 2.62 0.33 0.33 0.33 5.09 0.33 0.33 0.33 3.14 60 days BlkSch. 3.48 3.48 3.48 5.09 5.09
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