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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
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