2. Construct a MATLAB program for the estimation of the value of an exchange option together with...
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2. Construct a MATLAB program for the estimation of the value of an exchange option together with its greeks, using the generalization of the likelihood method of Broadie-Glasserman. The number of simulations N must be an input. The output must also contain the exact values of the option and the greeks.
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Statistical Methods For Financial Engineering
ISBN: 9781032477497
1st Edition
Authors: Bruno Remillard
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