Question
Choose a particular example, say, =.25, r=0, X=100, S 0 =100, T=0.5. Use Feynman Kac to calculate the prices of European calls with a strike
Choose a particular example, say, =.25, r=0, X=100, S0=100, T=0.5. Use Feynman Kac to calculate the prices of European calls with a strike X and expiry T for t=0.25, and S=100, 110, 120. Record these values. Then use the exact Black Scholes formula to calculate the same prices.
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Financial Accounting An Integrated Statements Approach
Authors: Jonathan E. Duchac, James M. Reeve, Carl S. Warren
2nd Edition
324312113, 978-0324312119
