Modify Sample Application G in the DerivaGem Application Builder software to test the convergence of the price
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Modify Sample Application G in the DerivaGem Application Builder software to test the convergence of the price of the trinomial tree when it is used to price a two-year call option on a five-year bond with a face value of 100. Suppose that the strike price (quoted) is 100, the coupon rate is 7% with coupons being paid twice a year. Assume that the zero curve is as in Table 32.2. Compare results for the following cases:
(a) Option is European; normal model with σ = 0.01 and a = 0.05.
(b) Option is European; lognormal model with σ = 0.15 and a = 0.05.
(c) Option is American; normal model with σ = 0.01 and a = 0.05.
(d) Option is American; lognormal model with σ = 0.15 and a = 0.05.
Strike PriceIn finance, the strike price of an option is the fixed price at which the owner of the option can buy, or sell, the underlying security or commodity. Coupon
A coupon or coupon payment is the annual interest rate paid on a bond, expressed as a percentage of the face value and paid from issue date until maturity. Coupons are usually referred to in terms of the coupon rate (the sum of coupons paid in a... Face Value
Face value is a financial term used to describe the nominal or dollar value of a security, as stated by its issuer. For stocks, the face value is the original cost of the stock, as listed on the certificate. For bonds, it is the amount paid to the...
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Ananthakumar P
From 2013 to now i continuing my Lecturing experience in various fields of mechanical engineering in Private Engineering college under the affiliation of Anna university - chennai,India.Additionally I have 6 years of Industrial Experience in the field of Quality.Currently working as a Assistant Professor in Mechanical Engg Department in Anna university Affiliated college.
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Total Quality management, Industrial Engineering, Manufacturing Technology I & II, Computer Integrated Manufacturing, Engineering materials and metallurgy, Engineering Thermodynamics, Fluid Mechanics and machinery, Kinematics of machinery, Strength of materials, Nuclear Engineering,Thermal Engineering I&II, Automobile engineering, Engineering Graphics.
I have Published one International Journal in the Area of Multi objective optimization and attended 4 National level conference Regarding Bio diesel , India Based neutrino Observatory & optimization by taguchi method.
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