7. (Barrier Option.) Write a VBA program to simulate M 5 100 stock prices using a Monte...

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7. (Barrier Option.) Write a VBA program to simulate M 5 100 stock prices using a Monte Carlo technique to calculate the price of Barrier down-and-out and down-and-in call options based on the following data: S(0) 5 100; K 5 110; T 5 1; r 5 8%; σ 5 50%; H 5 90 Gradually increase the value of M and report the observed price of the options

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Principles Of Financial Engineering

ISBN: 9780123869685

3rd Edition

Authors: Robert Kosowski, Salih N. Neftci

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