Implementation of the black-scholes

Assignment Help C/C++ Programming

Reference no: EM131232252

1. Investigation of the near term behavior of option prices as S₀ and σ vary.

Based on the implementation of the Black-Scholes option pricing model in the lab session, output a csv-file "problem1.csv" containing a table of Black-Scholes prices for a call option with fixed K = 100, τ = 0.5, r = 0.01, q = 0 and varying σ, S₀. σ is from 0.1 to 0.6 with increment 0.05, while S₀ is from 85 to 115 with increment 5.

The expected output table is like below:

S\σ	0.1	0.15	...	0.55	0.6
85
90
...
110
115

2. Consider an option portfolio consisting of a long position in the call option in problem 1 with τ = 0.5 and a short position in a call option with a different time to expiration τ' = 0.4. Both call options have the same strike and the same underlying. (This position is called a "Call Calendar Spread". )

Output a csv-file "problem2.csv" of the portfolio's value for varying σ and S0. All the other parameters remains the same as problem 1.

Attachment:- cpp.rar

Reference no: EM131232252

Questions Cloud

Explain the human resources needed for the project : Identify the human resources needed for the project. Assume you will need to hire people from the outside to fill these roles. Develop criteria for evaluating applicants responding to the ads.

How much does the system cost : How much does the system cost? Is there a base price for the server and then additional costs for clients? Consider the pricing model for the school district listed in the Final Project Document.

Develop supporting facts and arguments for each position : Prepare an essay of at least 1,500 words. The paper should be 12-point font, Times New Roman, and include a final source list.

Implementation of the black-scholes : Sys-Computation Finance ISyE 6767 - Consider an option portfolio consisting of a long position in the call option in problem 1 with τ = 0.5 and a short position in a call option with a different time to expiration

Three input cmos nand logic circuit : What is the optimum relation between the PMOS and NMOS width-to-length ratios for symmetrical switching speeds?

Make a program to transfer the same file from client side : In this project, you are required to make a program to transfer the same file from client side to server side for one hundred times with TCP/UDP protocol.

Identify the characteristics of the marketing plan : In developing a marketing plan, identify the characteristics of the marketing plan that P&G should implement to boost performance

Display current list contents using the enhanced for loop : Display the current list contents using the enhanced for loop along with appropriate output messages. Create a Listfterator object, iter, to be used in accessing the LinkedList contents.

User Account

All Pages