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volatility was not given. 9. Consider the stock AMZN that does not pay dividends. a) Use B-S formula to calculate the price of a February
volatility was not given.
9. Consider the stock AMZN that does not pay dividends. a) Use B-S formula to calculate the price of a February 2018European call option , where r 0.02 ,S,-$300, K $310. Use the put-call parity relation to calculate the price of a corresponding put option. b) Use a simple Monte Carlo method to estimate the price of a February 2018 European call option, where r- 0.02,So-$300,K $310. Compare your answer with part a) c) Use a Monte Carlo method with Antithetic variables to estimate the price of February 2018 European call option where r = 0.02 , So = $300, K = $310. d) Use a Monte Carlo method with Control variates to estimate the price of a February 201 European call option, where r-0.02 , So = $300 , K = $310. Compare a), b), c) and d) 9. Consider the stock AMZN that does not pay dividends. a) Use B-S formula to calculate the price of a February 2018European call option , where r 0.02 ,S,-$300, K $310. Use the put-call parity relation to calculate the price of a corresponding put option. b) Use a simple Monte Carlo method to estimate the price of a February 2018 European call option, where r- 0.02,So-$300,K $310. Compare your answer with part a) c) Use a Monte Carlo method with Antithetic variables to estimate the price of February 2018 European call option where r = 0.02 , So = $300, K = $310. d) Use a Monte Carlo method with Control variates to estimate the price of a February 201 European call option, where r-0.02 , So = $300 , K = $310. Compare a), b), c) and d)Step by Step Solution
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