Suppose So = 100, = 7%, r = 2%, o = 20%, T = 0.5,...
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Suppose So = 100, μ = 7%, r = 2%, o = 20%, T = 0.5, A = 1/52 and t₁ = i, i = 0, 1,..., 26. Consequently, A(ar), corresponds to a weekly average of prices on the trajectory. Additionally, assume that the option strike price is K = 100. A) Use the StockPathsQ and StockPathsQantithetic R functions simulated trajectories to obtain a Monte Carlo estimate of the Asian option price, as well as a 95% confidence interval. B) Show that: 129 [A] = Soe", 17 1-₂ eA C) Use the StockPathsQ and StockPathsQantithetic R functions simulated trajectories to obtain a Monte Carlo estimate of the Asian option price based on the control variable Alar), i.e. relationship based ari II) EQ eTH(ari) + (A) -EQ [4])]. Also obtain a 95% level confidence interval for your estimator by control variable. Indicate the value of c* that you calculated. Suppose So = 100, μ = 7%, r = 2%, o = 20%, T = 0.5, A = 1/52 and t₁ = i, i = 0, 1,..., 26. Consequently, A(ar), corresponds to a weekly average of prices on the trajectory. Additionally, assume that the option strike price is K = 100. A) Use the StockPathsQ and StockPathsQantithetic R functions simulated trajectories to obtain a Monte Carlo estimate of the Asian option price, as well as a 95% confidence interval. B) Show that: 129 [A] = Soe", 17 1-₂ eA C) Use the StockPathsQ and StockPathsQantithetic R functions simulated trajectories to obtain a Monte Carlo estimate of the Asian option price based on the control variable Alar), i.e. relationship based ari II) EQ eTH(ari) + (A) -EQ [4])]. Also obtain a 95% level confidence interval for your estimator by control variable. Indicate the value of c* that you calculated.
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Related Book For
Auditing and Assurance Services
ISBN: 978-0077862343
6th edition
Authors: Timothy Louwers, Robert Ramsay, David Sinason, Jerry Straws
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