Assume S0 = $100, r = 0.05, = 0.25, = 0, and T = 1.

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Assume S0 = $100, r = 0.05, σ = 0.25, δ = 0, and T = 1. Use Monte Carlo valuation to compute the price of a claim that pays $1 if ST > $100, and 0 otherwise.

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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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Question Posted: Dec 18, 2015 05:13 AM

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Assume S0 = $100, r = 0.05, = 0.25, = 0, and T = 1.

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The estimate should be within a few cents of the true value The standard deviation ...View the full answer

Derivatives Markets

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