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Calculate the monte carlo simulation

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Reference no: EM131245443

Financial engineering problem...

Not a big fun of option though I do love Monte Carlo method. A bank has written a call option on one stock and a put option on another stock. For the first option the stock price is 50, the strike price is 51, the volatility is 28% per annum, and the time to maturity is 9 months. For the second option the stock price is 20, the strike price is 19, and the volatility is 25% per annum, and the time to maturity is 1 year. Neither stock pays a dividend. The risk-free rate is 6% per annum, and the correlation between stock price returns is 0.4.

1. Using C/C++ or Java or Matlab to calculate the 10-day 99% Monte Carlo Simulation based VaR for the portfolio. Set the number of simulation to 5000.

2. What else data is required to calculate the 10-day 99% Historical based VaR for the portfolio?

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This assignment With the help of Monte Carlo method Matlab files and coding is provided for all parts .

Reference no: EM131245443

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inf1245443

8/4/2017 5:49:58 AM

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inf1245443

8/4/2017 5:49:00 AM

I want to get the Matlab code when can i get the solution? Please give me the Matlab code I got an email about my failure payment, however the paying status is Transaction Successful. why? I already paid the second time, but I am not sure whether or not fail in fraud review this time again, since the last time, I paid by PayPal thanks for your confirmation, finaly i am able to make the payment. So when can I get the solution? There is another question in the project EM131245443 Also, what is VaR we can get after running the code

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