Question: Write a simulation program to price a European digital option whose underlying stock price follows a geometric Brownian motion with volatility = 0.1. Other

Write a simulation program to price a European digital option whose underlying stock price follows a geometric Brownian motion with volatility σ = 0.1. Other parameters are r = 0.05, q = 0, S = K = 10, T = 1.

Step by Step Solution

3.42 Rating (168 Votes )

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock

clear all 2 clc 4S10 K10 T1 7r00... View full answer

blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Document Format (1 attachment)

Word file Icon

912-B-F-F-M (5080).docx

120 KBs Word File

Students Have Also Explored These Related Finance Questions!