Exercise 1.4 - Monte-Carlo Valuation (Single-Asset) For the following values, S = 100 K=100 Rx = 3% T= 1 Year 0 = 30% No dividends = = Calculate the following using Monte-Carlo simulation with 1000 scenarios and compare to the analytic formula: For a standard call option, calculate the following: o Value? o Option delta using a 1% shift (S = 101) in the stock price? o Option rho with a 1% shift (r = 3.03%) in the risk-free rate? o Option vega with a 1% shift (sig = 30.3%) in the volatility? Assume a call option where if the stock goes above 108 or below 95 at 6 months, a $5 rebate is received. Calculate the same quantities as above. Note: set up the two step MC to value both options with the same random variables