Q3 Implement the Monte Carlo Simulation method by writing a program in your favourite programming language or Excel using equation 20.17 on page 471 of Hulls book.

Financial Mathematics I: options, futures and other derivatives (9th edition) Chapter 17: Options on stock indices and currencies, Chapter 18: Futures options ,Chapter 21: Basic numerical procedures ,Chapter 27: More on models and numerical procedures please use equation 20.17

e, it is usually more accurate to simulate ln s rather than S. From Ito's rocess followed by In S is (20.15) dt o dz d ln S tly (20.16) is used to construct a path for S. are constant, with In S rather than S gives more accuracy. Also, if p and o T oEVT ln SOTO-In S00) ll T.14 It follows that (20.17) OE S(T) S(0) exp on can be used to value derivatives that provide a nonstandard payoff at shown in Business Snapshot 20.2, it can also be used to check the Black formulas be ased then the lotion is that can