Question: For the following values, S = 100, = 8%, o = 15% K = 100 R = 3% 25% Implied volatility T = 1

For the following values, S = 100, = 8%, o = 15%

For the following values, S = 100, = 8%, o = 15% K = 100 R = 3% 25% Implied volatility T = 1 Year No dividends Calculate the delta hedge for a sold position of 100,000 call options like in the book using 100 (or more) trials. Stock paths are generated with RW mean u and RW volatility o. Calculate the average value and standard deviation of the trials using Weekly (52) steps? Calculate the average value and standard deviation of the trials using Daily (252) steps? Compare to the Black-Scholes value? Redo the analysis with RW o = 20%? Redo the analysis with RW = 4%?

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