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10. Create a spreadsheet modeling trajectories of geometric Brownian motion starting at 100 with growth rate 2.5 percent (it is also risk free rate) and
10. Create a spreadsheet modeling trajectories of geometric Brownian motion starting at 100 with growth rate 2.5 percent (it is also risk free rate) and volatility 24 percent. Make a spreadsheet that calculates European calls maturing in 1 year with strikes 100 and 101 on non-dividend paying stock using Monte Carlo method and using 20,000 trajectories with 250 steps in each trajectory. Compare Monte-Carlo price with 20,000 trajectories to theoretical model price. Calculate with 40,000 trajectories. Compare Monte-Carlo price with 40,000 trajectories to theoretical model price. Calculate with 60,000 trajectories Compare Monte-Carlo price with 60,000 trajectories to theoretical model price. 10. Create a spreadsheet modeling trajectories of geometric Brownian motion starting at 100 with growth rate 2.5 percent (it is also risk free rate) and volatility 24 percent. Make a spreadsheet that calculates European calls maturing in 1 year with strikes 100 and 101 on non-dividend paying stock using Monte Carlo method and using 20,000 trajectories with 250 steps in each trajectory. Compare Monte-Carlo price with 20,000 trajectories to theoretical model price. Calculate with 40,000 trajectories. Compare Monte-Carlo price with 40,000 trajectories to theoretical model price. Calculate with 60,000 trajectories Compare Monte-Carlo price with 60,000 trajectories to theoretical model price
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