Discuss how to price the option using pdes and monte carlo

Assignment Help Engineering Mathematics

Reference no: EM131168975

Suppose an option pays the maximum value of spot minus the minimum value of spot across a number of dates. Discuss how to price this option using PDEs and Monte Carlo.

Reference no: EM131168975

Questions Cloud

How will the price of a geometric asian option compare : The geometric mean Asian pays the positive part of the geometric mean minus the strike. Develop an analytic price. How will the price of a geometric Asian option compare to the price of an ordinary Asian?

Why donald trump choose mike pence as vice presidential pick : Why did Donald Trump choose Mike Pence as his Vice Presidential pick? Doesn't this completely alienate the moderates that he will have to win over in order to succeed in the general election?

How various balances be shown on the balance sheet : An analysis of the accounts receivable balance of $8702 on the records of Jorgenson, Inc., - what adjustments should be made? - how should the various balances be shown on the balance sheet?

Describe the use of composites for aircraft : Describe the use of composites for aircraft. List the parts that can be made of composites and what they are made of. Discuss the weight savings and correlate this to the overall fuel savings

Discuss how to price the option using pdes and monte carlo : Suppose an option pays the maximum value of spot minus the minimum value of spot across a number of dates. Discuss how to price this option using PDEs and Monte Carlo.

Describe an efficient numerical algorithm that could be used : Let St, Bt be as in the Black-Scholes model with St non-dividend paying. Describe an efficient numerical algorithm that could be used to price this option. What if the option were a call?

What should be the diameter of the pipe : We want to transport water at a rate of Q = 56.55 m3/h from point 1 to 2 with the new commercial steel pipe shown in the figure. The pressure difference between point 1 and 2 is given as P1 - P2 = 52,800 N/m2. What should be the diameter of the pi..

Find the linear approximating polynomial for the following : Find the linear approximating polynomial for the following function centered at the given point a. Find the quadratic approximating polynomial for the following function centered at the given point a. Use the polynomials obtained in parts a) and b) t..

What forecasts or scenarios should worry ms peru the most : What forecasts or scenarios should worry Ms. Peru the most ? - Where would additional information be most helpful?

User Account

All Pages