Provide a Python program that prices a put option using an initial stock price of $50....
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Provide a Python program that prices a put option using an initial stock price of $50. The program should also calculate your breakeven stock price if you buy this put. USE GBM, geometric Brownian motion in your code of simulation! Answer the following questions in words: 1.) 2.) 3.) If you move the initial price of the stock up $1, what happens to the price of the put option? If you move the initial price of the stock down $1, what happens to the price of the put option? What is the average of these two changes in the price of the put option? 2.) Then, assume a portfolio with the following parameters: risk free rate (or drift) of 5% per year. Annualized standard deviations of returns of 25%. Initial portfolio value of $1,000,000,000. Provide a Python program that calculates the 10%, one-month, expected tail loss. Provide a Python program that prices a put option using an initial stock price of $50. The program should also calculate your breakeven stock price if you buy this put. USE GBM, geometric Brownian motion in your code of simulation! Answer the following questions in words: 1.) 2.) 3.) If you move the initial price of the stock up $1, what happens to the price of the put option? If you move the initial price of the stock down $1, what happens to the price of the put option? What is the average of these two changes in the price of the put option? 2.) Then, assume a portfolio with the following parameters: risk free rate (or drift) of 5% per year. Annualized standard deviations of returns of 25%. Initial portfolio value of $1,000,000,000. Provide a Python program that calculates the 10%, one-month, expected tail loss.
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Answer rating: 100% (QA)
To calculate the price of a put option using the geometric Brownian motion GBM model you can use the BlackScholes formula Heres a Python program to do that and answer your questions import numpy as np ... View the full answer
Related Book For
Cost Management A Strategic Emphasis
ISBN: 978-0078025532
6th edition
Authors: Edward Blocher, David Stout, Paul Juras, Gary Cokins
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