9. (Barrier Option.) Write a MATLAB program to document the efficiency of a Monte Carlo approach to...

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9. (Barrier Option.) Write a MATLAB program to document the efficiency of a Monte Carlo approach to the estimation of the price of 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 30%; H 5 90

• Plot a graph of estimated prices as a function of the number of stock price simulations.

10. (Digital Currency Option.) Write a MATLAB program to observe the efficiency of Monte Carlo technique to estimate the price of Digital Call and Put price with the following data:

• S(0) 5 $1.54; K 5 $1.58; T 5 1; r 5 8%; rf 5 6%; σ 5 30%; R 5 $10 Plot the graph of estimated price v/s the no. of stock price simulation.

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Principles Of Financial Engineering

ISBN: 9780123869685

3rd Edition

Authors: Robert Kosowski, Salih N. Neftci

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