Pricing european call and put options

Assignment Help Financial Management

Reference no: EM132023404

Pricing European call and put options

Using the Monte Carlo (MC) simulation, evaluate ‘at-the-money’ (i.e., the strike price is equal to the current stock price) European call and put options on an underlying stock with 2000, 4000, 6000, 8000, 10000, and 12,000 sample paths. Plot the call and put options prices against the number of sample paths. Now, determine the values of the call and put options applying the Black-Scholes (BS) option pricing model. Compare and explain the results obtained from the MC simulation and the BS model.

Reference no: EM132023404

Questions Cloud

Treasury securities : Suppose you needed $50 million of overnight financing and would collateralize with $51,000,000 in Treasury securities (market value).

Standard deviation based on observed sample of returns : Calculate an asset’s standard deviation based on the following observed sample of returns: -15%, 3%, 5%, 14%, 35%.

What is the amount of average inventory : What ios the ecopnomic order quantity? What is the amount of average inventory? What is the total cost of this inventory decision?

Collect daily stock prices of four different companies : Collect daily stock prices of four different companies. Calculate daily returns and present the distribution of the daily return for each company.

Pricing european call and put options : Pricing European call and put options-Compare and explain the results obtained from the MC simulation and the BS model.

Determine the values of the call and put options : Determine the values of the call and put options applying the Black-Scholes (BS) option pricing model.

Gloomier outlook about the future on the investment levels : What does this say about the effect of a gloomier outlook about the future on the investment levels today?

Find the bond price four months from now : Find the bond's price today. Find the bond's price four months from now.

Present value of a series of equal amounts : Round 'Present value of a Single Amount' and 'Present value of a Series of Equal Amounts' in intermediate

User Account

All Pages