Assume S0 = $50, r = 0.05, = 0.50, and = 0. The Black-Scholes price
Question:
a. Using 2000 simulations incorporating jumps, simulate the 2-year price and draw a histogram of continuously compounded returns.
b. Using Monte Carlo incorporating jumps, value a 2-year at-the-money put. Is this value significantly different from the Black-Scholes value?
Expected Return
The expected return is the profit or loss an investor anticipates on an investment that has known or anticipated rates of return (RoR). It is calculated by multiplying potential outcomes by the chances of them occurring and then totaling these...
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Question Posted: