Reference no: EM131005419
Question:
I have to do a report with Software R about pricing option as assignement for my course" numerical and statistichal method for finance".
I have to chose a type of option and make an analysis of market, my data ecc.
I have some example that i can give you for make you an idea and i send you with this mail.The report must has 20/30 pages not more and it have to contein plot, Rcode, ecc. It is important utilize packages as like Yuima and the important topic for me are llag, Montecarlo Method, B&S, cluster Analysis.
Aniway, in my courseI studied this argument:
Principles of Ito calculus and stochastic differential equations.
Introduction to the Black&Scholes model of option pricing.
Random number generation and variance reduction techniques.
Explorative data analysis for time series and lead-lag estimation.
Calibration and estimation of financial models from financial data via quasi-maximum likelihood estimation and the LASSO method.
Volatility estimation and monitoring.
Monte Carlo methods with applications to (european and asian) option pricing.
Lévy process: statistical fitting, simulation and option pricing.
The report has not to conteint:opzioni americane, le greeks, FFT pricing because i have not study yet.
- essay08
-sample analysys ( is a work where a guy take a good score in my course)
-guideline ( is a one page write to my hand if it can help you to understand that i want)
Can you help me to understand how you will work?
Can you send me a price for deadline 6/04 and a price for deadline 15/08?
Attachment:- assignement.pdf
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